The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic: Evidence from International Stock Markets

61 Pages Posted: 22 Jun 2020

See all articles by Adam Zaremba

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business

Renatas Kizys

University of Southampton, Southampton Business School, Department of Banking and Finance

Panagiotis Tzouvanas

University of Sussex

⸹ David Y. Aharon

Ono Academic College

Ender Demir

Istanbul Medeniyet University

Date Written: June 21, 2020

Abstract

What determines a country's financial immunity to a global pandemic? To answer this question, we investigate the behavior of 67 equity markets around the world during the COVID-19 outbreak in 2020. We consider a multidimensional data set that includes factors from finance, economic, demographics, technological development, healthcare, governance, culture, and law. Our study also accounts for government interventions, such as containment and closure policies, and economic stimuli. We apply machine learning techniques, panel regression, and factor analysis to ascertain sources of resiliency to the coronavirus pandemic. Our findings demonstrate that stock markets in countries with low unemployment rates and populated with firms with conservative investment policies and low valuations relative to expected profits tend to be more resilient to the healthcare crisis. We also find that firm government policy responses tend to support stock markets in times of the pandemic.

Keywords: COVID-19, Economy, Financial Immunity, Fundamentals, Government Interventions, Policy Responses, Healthcare, International Stock Markets, Institutions, National Culture, Governance, Novel Coronavirus

JEL Classification: G11, G15, G18, I18

Suggested Citation

Zaremba, Adam and Kizys, Renatas and Tzouvanas, Panagiotis and Aharon, ⸹ David Y. and Demir, Ender, The Quest for Multidimensional Financial Immunity to the COVID-19 Pandemic: Evidence from International Stock Markets (June 21, 2020). Available at SSRN: https://ssrn.com/abstract=3632466 or http://dx.doi.org/10.2139/ssrn.3632466

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

Renatas Kizys

University of Southampton, Southampton Business School, Department of Banking and Finance ( email )

Room 1013, Building 4
Highfield Campus
Southampton, SO17 1BJ
United Kingdom
+442380598612 (Phone)

HOME PAGE: http://https://www.southampton.ac.uk/business-school/about/staff/rk1y18.page

Panagiotis Tzouvanas

University of Sussex ( email )

Jubilee building
Brighton, BN1 9SL
United Kingdom

⸹ David Y. Aharon

Ono Academic College ( email )

Kyriat Ono
Israel

Ender Demir

Istanbul Medeniyet University ( email )

D-100 Karayolu
Merdivenkoy Mevkii No:6/1 Goztepe/Kadıkoy
Istanbul
Turkey

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