{"title":"The effect of COVID‐19 on the global stock market","authors":"Pattanaporn Chatjuthamard, Pavitra Jindahra, Pattarake Sarajoti, Sirimon Treepongkaruna","doi":"10.1111/acfi.12838","DOIUrl":null,"url":null,"abstract":"Abstract This paper investigates the effect of COVID‐19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and co‐jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing return. Further, we explore whether economic, financial and political risks play any significant role in the relation between the number of confirmed cases/deaths and market quality. Overall, we find the risk from COVID‐19 overshadows these risks.","PeriodicalId":45436,"journal":{"name":"Intelligent Systems in Accounting Finance & Management","volume":"15 1","pages":"4923 - 4953"},"PeriodicalIF":3.5000,"publicationDate":"2021-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"18","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Intelligent Systems in Accounting Finance & Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/acfi.12838","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: 18
Abstract
Abstract This paper investigates the effect of COVID‐19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and co‐jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing return. Further, we explore whether economic, financial and political risks play any significant role in the relation between the number of confirmed cases/deaths and market quality. Overall, we find the risk from COVID‐19 overshadows these risks.
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