First to React Is Last to Forgive: Evidence from the Stock Market Impact of COVID 19
Hassan, S. M., and Riveros, J. (2020). First to React Is Last to Forgive: Evidence from the Stock Market Impact of COVID 19. MSR Working paper series Nr. 002-2020.
34 Pages Posted: 4 Aug 2020
Date Written: July 27, 2020
COVID 19 has had parallel and uneven economic shocks across countries since its outbreak in December 2019. Stock markets as usual were the first to react, with drop rates as much as the Global Financial crises of 2008. This study uses daily data to model the dynamic impact of COVID 19 pandemic on returns of selected stock market indices and globally-traded commodities. The overall panel least squares VAR estimation results indicate a negative short termed impact of 2.3% on the performances of the stock markets when the spread rate of corona-virus increases by 1% across countries ceteris paribus. While The COVID 19 contamination rate is not statistically significant to explain the changes in the exchange rate and gold prices in the countries of analysis, yet the virus spread rate is found to be significant in steering prices of platinum, silver, WTI, and Brent crude oil.
Keywords: Panel VAR, Stock Market Indices, COVID 19
JEL Classification: G01, I15, H12, G15
Suggested Citation: Suggested Citation