Is the COVID-19 Pandemic a Financial Disaster for G7 Countries? Evidence from a Fourier Cointegration Test

10 Pages Posted: 21 May 2020

Date Written: May 2, 2020

Abstract

The rapid increase in the number of cases of COVID-19 and deaths caused by the pandemic has had a significant impact on the stock markets of developed countries. In this context, this study examines the effects of the pandemic on stock markets in G7 countries. To this end, the study employs the Fourier-Shin cointegration test from 15 January 2020 to 24 April 2020. The findings reveal that the COVID-19 pandemic has had a negative effect on the stock markets. Of the seven stock markets studied, the pandemic has affected the FTSE MIB the most, and the Nikkei 500 the least.

Keywords: COVID-19; Pandemics; Stock prices; Cointegration; Fourier term; G7 countries

JEL Classification: C22; G15; H12

Suggested Citation

Pata, Ugur Korkut, Is the COVID-19 Pandemic a Financial Disaster for G7 Countries? Evidence from a Fourier Cointegration Test (May 2, 2020). Available at SSRN: https://ssrn.com/abstract=3603068 or http://dx.doi.org/10.2139/ssrn.3603068

Ugur Korkut Pata (Contact Author)

Osmaniye Korkut Ata University ( email )

Osmaniye, 80000
Turkey

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