ВПЛИВ ПАНДЕМІЇ COVID-19 НА ФОНДОВІ РИНКИ

Abstract

Since mid-February 2020, global financial markets have witnessed the start of an intensification of participant fears regarding the widespread COVID-19, which has resulted in a notable correction from the highs of most company stock prices and a marked increase in credit spreads of debt financial instruments, especially for bonds of lower-rated companies (while yields on safe bonds have fallen sharply). In addition, the depreciation of commodities, namely the sharp decline in the value of oil, has further reduced investors" appetite for risky assets. Thus, for 2020, the COVID-19 pandemic proved to be a black swan, which has already had an enormous impact on the global stock market and created widespread capital market effects. This article therefore aims to investigate the impact of the COVID-19 pandemic on the stock markets of two severely affected European countries, Italy and Germany. The choice of these countries for the study is based on the fact that both countries had a huge financial and economic impact due to the virus pandemic. The COVID-19 pandemic led to a significant fall in share prices, so the Italian FTSE MIB and German DAX stock indices also fell in response to such events. The choice of two individual countries instead of a broader sample is based on the need to analyse the response of individual stock markets instead of a cumulative global or regional response, as the response of individual countries within a cumulative sample may be of the opposite nature. The Italian index (FTSE MIB) and the German index (DAX) and the number of new cases of COVID-19 were chosen for the analysis. The study period includes the date from 20 March 2020 to 18 September 2020. The study uses an event analysis methodology using daily series of stock price index data and daily COVID-19 cases. A simple OLS (bivariate) regression method was chosen in the study as it can effectively investigate the relationship between stock indices and confirmed COVID19 cases. We constructed simple OLS bivariate regression models for each country. The results of the analysis show that there is a negative correlation between the German DAX index, the Italian FTSE MIB index and the daily COVID-19 cases, i.e. the stock indices of both countries decrease as the COVID-19 cases increase.