Abstract

ABSTRACT This research paper analyzes how the pandemic caused by the coronavirus has affected eight MENA and three OIC stock market indices using advanced methodologies based on fractional integration. With this methodology we try to measure the persistence of the financial data in order to understand the long-term market dynamics of these two regions and to identify whether the COVID-19 shock has caused structural changes in the time series. Moreover, we want to identify if the shocks in the series have had permanent or transitory effects. The time period examined starts from pre-pandemic times at 2003, and first goes to the end of 2019; then, we also consider the COVID-19 pandemic (with data ending at December 2021) and then extend the analysis onwards to include the war between Russia and Ukraine (data ending at February 2023). The results indicate that there have not been significant long-lasting impacts from the COVID-19 pandemic or the Russia-Ukraine war on the degree of persistence in the series when using monthly data; however, as far as daily and weekly data are concerned the shocks have had some effect on the degree of persistence with daily data in the cases of Egypt, Indonesia, Malaysia, Turkey, and with weekly data for Bahrain, Egypt, Kuwait, Malaysia, Morocco and Turkey.

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