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The effect of COVID‐19 on the global stock market
Author(s) -
Chatjuthamard Pattanaporn,
Jindahra Pavitra,
Sarajoti Pattarake,
Treepongkaruna Sirimon
Publication year - 2021
Publication title -
accounting and finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.645
H-Index - 49
eISSN - 1467-629X
pISSN - 0810-5391
DOI - 10.1111/acfi.12838
Subject(s) - covid-19 , volatility (finance) , stock market , stock (firearms) , economics , financial economics , stock market volatility , monetary economics , econometrics , medicine , geography , context (archaeology) , disease , archaeology , virology , outbreak , infectious disease (medical specialty) , biology
This paper investigates the effect of COVID‐19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and co‐jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing return. Further, we explore whether economic, financial and political risks play any significant role in the relation between the number of confirmed cases/deaths and market quality. Overall, we find the risk from COVID‐19 overshadows these risks.