The effect of COVID-19 on the global stock market

Pattanaporn Chatjuthamard; Pavitra Jindahra; Pattarake Sarajoti; Sirimon Treepongkaruna

doi:10.1111/acfi.12838

The effect of COVID-19 on the global stock market

Pattanaporn Chatjuthamard, Pavitra Jindahra, Pattarake Sarajoti, Sirimon Treepongkaruna

Accounting and Finance

Research output: Contribution to journal › Article › peer-review

30 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	4923-4953
Number of pages	31
Journal	Accounting and Finance
Volume	61
Issue number	3
DOIs	https://doi.org/10.1111/acfi.12838
Publication status	Published - Sept 2021

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10.1111/acfi.12838

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abstract = "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.",

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The effect of COVID-19 on the global stock market

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