Does the Pandemic have Greater Impact on World’s Stock Markets?

Abstract

This study examines the pandemic impact on world’s top forty-five stock markets along with memory analysis and leverage effect. The study is based on time-series data from January 1, 2020 to September 30, 2020 using scaling analysis by means of Hurst exponent and GARCH family models. Memory analysis suggests that all the stock markets are persistent in nature with a shade of uncertainty in the New Zealand stock market. GARCH family models show that volatility is present in some of the stock markets. Both EGARCH and TGARCH models clarified that the leverage effect is present in the BSE-India, Bangladesh, Egypt, Euronext Stock Exchange, New Zealand, and Canada stock markets; Negative information influences the stock market more than positive information for these stock markets. Nevertheless, in consideration of several limitations, an indicator to the future research is designated as well.