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
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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.
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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。
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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
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