Evaluation of Changes on World Stock Exchanges in Connection with the SARS-CoV-2 Pandemic. Survival Analysis Methods

Beata Bieszk-Stolorz,Krzysztof Dmytrów

doi:10.3390/risks9070121

Abstract

The aim of our research was to compare the intensity of decline and then increase in the value of basic stock indices during the SARS-CoV-2 coronavirus pandemic in 2020. The survival analysis methods used to assess the risk of decline and chance of rise of the indices were: Kaplan–Meier estimator, logit model, and the Cox proportional hazards model. We observed the highest intensity of decline in the European stock exchanges, followed by the American and Asian plus Australian ones (after the fourth and eighth week since the peak). The highest risk of decline was in America, then in Europe, followed by Asia and Australia. The lowest risk was in Africa. The intensity of increase was the highest in the fourth and eleventh week since the minimal value had been reached. The highest odds of increase were in the American stock exchanges, followed by the European and Asian (including Australia and Oceania), and the lowest in the African ones. The odds and intensity of increase in the stock exchange indices varied from continent to continent. The increase was faster than the initial decline.

Highlights

On 11 March 2020, the World Health Organization (WHO) officially declared the COVID-19 disease as a global pandemic
Emin and Aytac (2016) presented 20 different definitions of the currency crisis. They used, inter alia, the studies by Reinhart and Rogoff (2009), who assumed that a currency crisis occurred when the currency value fell by at least 15% during a year in comparison with the value of the USD
Our research confirms that the stock markets responded to the SARS-CoV-2 coronavirus pandemic in various ways

Summary

Introduction

On 11 March 2020, the World Health Organization (WHO) officially declared the COVID-19 disease as a global pandemic. The number of the new cases and deaths still increases. The USA is the country with the highest number of confirmed cases and deaths. Since the disease has been present for almost a year, we present the selected events in its timeline: .

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Conclusion