Impact of the novel coronavirus on stock market returns: evidence from GCC countries

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2020-09-24 DOI:10.3934/QFE.2020029
Raéf Bahrini, A. Filfilan
{"title":"Impact of the novel coronavirus on stock market returns: evidence from GCC countries","authors":"Raéf Bahrini, A. Filfilan","doi":"10.3934/QFE.2020029","DOIUrl":null,"url":null,"abstract":"The novel coronavirus (COVID-19) is not only an unprecedented human and health crisis, but it is expected to become one of the most economically costly pandemics in recent history. Latest financial reports indicate that the COVID-19 outbreak is severely disrupting the global economy and financial markets. Many equity markets around the world have endured heavy declines since the pandemic’s outbreak. To provide an understanding of the effects of the novel coronavirus pandemic on stock markets, we investigate in this paper the impact of the COVID-19 confirmed cases and deaths on the daily returns of the major stock market indices in the Gulf Cooperation Council (GCC) countries over the period from April 1, 2020 to June 26, 2020. Using a panel data regression analysis, we find that stock markets in the GCC countries responded negatively and with a great degree to new and total COVID-19 confirmed deaths, while response to the number of COVID-19 confirmed cases is not significant. Therefore, during the COVID-19 outbreak daily returns of the major stock market indices in the GCC countries declined as the number of confirmed deaths increased. Further analysis suggests that GCC stock markets are impacted positively by the crude oil price (WTI) and negatively by the variation of the implied volatility in the global oil market and the global stock markets.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":null,"pages":null},"PeriodicalIF":3.2000,"publicationDate":"2020-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"51","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance and Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3934/QFE.2020029","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 51

Abstract

The novel coronavirus (COVID-19) is not only an unprecedented human and health crisis, but it is expected to become one of the most economically costly pandemics in recent history. Latest financial reports indicate that the COVID-19 outbreak is severely disrupting the global economy and financial markets. Many equity markets around the world have endured heavy declines since the pandemic’s outbreak. To provide an understanding of the effects of the novel coronavirus pandemic on stock markets, we investigate in this paper the impact of the COVID-19 confirmed cases and deaths on the daily returns of the major stock market indices in the Gulf Cooperation Council (GCC) countries over the period from April 1, 2020 to June 26, 2020. Using a panel data regression analysis, we find that stock markets in the GCC countries responded negatively and with a great degree to new and total COVID-19 confirmed deaths, while response to the number of COVID-19 confirmed cases is not significant. Therefore, during the COVID-19 outbreak daily returns of the major stock market indices in the GCC countries declined as the number of confirmed deaths increased. Further analysis suggests that GCC stock markets are impacted positively by the crude oil price (WTI) and negatively by the variation of the implied volatility in the global oil market and the global stock markets.
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
新型冠状病毒对股市回报的影响:来自海湾合作委员会国家的证据
新型冠状病毒(COVID-19)不仅是一场前所未有的人类和健康危机,而且预计将成为近代史上经济代价最高的流行病之一。最新财经报告显示,新冠肺炎疫情正在严重扰乱全球经济和金融市场。自疫情爆发以来,全球许多股票市场都经历了大幅下跌。为了解新型冠状病毒大流行对股市的影响,本文研究了2020年4月1日至2020年6月26日期间,新冠肺炎确诊病例和死亡病例对海湾合作委员会(GCC)国家主要股市指数日收益率的影响。通过面板数据回归分析,我们发现海湾合作委员会国家的股票市场对新冠肺炎确诊死亡人数和总死亡人数的反应是消极的,而且在很大程度上是消极的,而对COVID-19确诊病例数量的反应并不显著。因此,在2019冠状病毒病暴发期间,随着确诊死亡人数的增加,海湾合作委员会国家主要股市指数的日收益率下降。进一步分析表明,海湾合作委员会股票市场受到原油价格(WTI)的积极影响,受到全球石油市场和全球股票市场隐含波动率变化的消极影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 去求助
来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
期刊最新文献
The effects of different modes of foreign bank entry in the Turkish banking sector during the 2007–2009 Global financial crisis Cost and performance of carbon risk in socially responsible mutual funds Investing in virtue and frowning at vice? Lessons from the global economic and financial crisis Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case Autoregressive distributed lag estimation of bank financing and Nigerian manufacturing sector capacity utilization
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1