Work

The effect of COVID‐19 on the global stock market

Year: 2021

Type: article

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.

Source: Accounting and Finance

DOI: 10.1111/acfi.12838

Authors: Pattanaporn Chatjuthamard, Pavitra Jindahra, Pattarake Sarajoti, Sirimon Treepongkaruna

Institutions: Chulalongkorn University, The University of Western Australia

Language: English

Topic: COVID-19 Pandemic Impacts

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDGs: Decent work and economic growth, Good health and well-being

Open Access status: bronze

Funder: Chulalongkorn University