The impact of COVID-19 on G7 stock markets volatility: Evidence from a ST-HAR model

15 Pages Posted: 26 May 2020 Last revised: 9 Jun 2020

See all articles by Marwan Izzeldin

Marwan Izzeldin

Lancaster University Management School

Yaz Gulnur Muradoglu

City University London - Sir John Cass Business School; Queen Mary University of London

Vasileios Pappas

University of Kent, Kent Business School

Sheeja Sivaprasad

University of Westminster

Date Written: June 9, 2020

Abstract

Our paper investigates the impact of COVID-19 on stock markets across G7 countries (the US, the UK, Canada, France, Germany, Italy and Japan) and sectors (Consumer Goods, Consumer Services, Financials, Healthcare, Industrials, Materials, Oil & Gas, Technology, Telecommunications and Utilities) and highlight the synchronicity and severity of this unprecedented crisis. We find strong transition evidence to a crisis regime for all countries and all sectors suggesting the universal impact of COVID-19. However, not all business sectors were affected with the same intensity or at the same time. The Health Care and Consumer services sectors were the most severely affected; a reflection of the COVID-19 drug-race and the dire situation of the airlines. Technology were among those sectors that was hit the latest and least severely, as lock downed people were looking for distraction and entertainment elsewhere. Country-wise the UK and the US were hit the hardest, while exhibiting the highest heterogeneity in their business sectors’ response; a possible reflection on the financial markets of the ambiguity of these countries’ political response to the pandemic crisis.

Keywords: COVID-19, financial markets, HAR model, smooth transition, business sectors

JEL Classification: G15, C24

Suggested Citation

Izzeldin, Marwan and Muradoglu, Yaz Gulnur and Muradoglu, Yaz Gulnur and Pappas, Vasileios and Sivaprasad, Sheeja, The impact of COVID-19 on G7 stock markets volatility: Evidence from a ST-HAR model (June 9, 2020). Available at SSRN: https://ssrn.com/abstract=3607842 or http://dx.doi.org/10.2139/ssrn.3607842

Marwan Izzeldin

Lancaster University Management School ( email )

Lancaster, LA1 4YX
United Kingdom
01524 594674 (Phone)

HOME PAGE: http://www.lums.lancs.ac.uk/profiles/marwan-izzeldin/

Yaz Gulnur Muradoglu

Queen Mary University of London ( email )

Francis Bancroft Building
Mile End Road
London, E1 4NS
United Kingdom

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 20 7040 0124 (Phone)
+44 20 7040 8853 (Fax)

Vasileios Pappas (Contact Author)

University of Kent, Kent Business School ( email )

Canterbury, Kent CT2 7PE
United Kingdom

Sheeja Sivaprasad

University of Westminster ( email )

309 Regent Street
London, W1R 8AL
United Kingdom

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