Abstract
This research aims to assess the impact of the spread of the COVID-19 pandemic on the Baltic stock market. To reach this aim, the methods of bivariate (OLS) regression and VAR-based impulse response functions are employed. We use daily new cases of COVID-19 as well as the cumulative number of COVID-19 cases as independent and OMX Baltic Benchmark GI index as dependent variables for our research. The research period, covering data from 2020 March 1st to 2020 November 21st, is divided into three separate periods, reflecting the different phases of the spread of the COVID-19 pandemic. The results of the research revealed that the market reaction differs depending on the period; moreover, the Baltic stock market index was affected by new cases and total cases in a slightly different manner.
Highlights
The unexpected and rapid spread of the COVID-19 pandemic has inevitably affected different spheres of the economy, and financial markets were not excluded either
The results of the research revealed that the market reaction differs depending on the period; the Baltic stock market index was affected by new cases and total cases in a slightly different manner
Results and discussion the impact of the spread of the COVID-19 pandemic on the Baltic stock market is being assessed and the reaction of the Baltic stock market to the shock caused by the pandemic is being analysed
Summary
The unexpected and rapid spread of the COVID-19 pandemic has inevitably affected different spheres of the economy, and financial markets were not excluded either. Specific researches assessing the impact of the pandemic on the Baltic stock market (Lithuania, Latvia, and Estonia) is still fragmentary. Taking this into account, the aim of this paper is to assess the impact of the spread of the COVID19 pandemic on the Baltic stock market. The results of the research revealed that the market reaction differs depending on the period; the Baltic stock market index was affected by new cases and total cases in a slightly different manner
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