Abstract
COVID 19 has had parallel and uneven economic shocks across countries since its outbreak in December 2019. Stock markets as usual were the first to react, with drop rates as much as the Global Financial crises of 2008. This study uses daily data to model the dynamic impact of COVID 19 pandemic on returns of selected stock market indices and globally-traded commodities. The overall panel least squares VAR estimation results indicate a negative short termed impact of 2.3% on the performances of the stock markets when the spread rate of corona-virus increases by 1% across countries ceteris paribus. While The COVID 19 contamination rate is not statistically significant to explain the changes in the exchange rate and gold prices in the countries of analysis, yet the virus spread rate is found to be significant in steering prices of platinum, silver, WTI, and Brent crude oil.
Highlights
IntroductionFirst to React Is the Last to Forgive: Evidence from the Stock Market
The first and second generation of panel unit-root tests confirmed the stationarity of the stock market performance, the growth rates of the exchange rate, the growth in the commodity prices of gold, platinum, silver, West Texas Intermediate (WTI), and Brent
The overall panel least squares Vector Auto-Regressive (VAR) estimation and the Maximum Likelihood approach yield identical results, which indicates a negative impact of 2.3% on the performance of the stock markets when the virus contamination rate increases by 1% across countries at the 99% confidence level
Summary
First to React Is the Last to Forgive: Evidence from the Stock Market. Publisher’s Note: MDPI stays neutral with regard to jurisdictional claims in published maps and institutional affiliations.
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