Assessing the Impact of covid-19 Shock on major Asian stock markets

Onour, Ibrahim (2020): Assessing the Impact of covid-19 Shock on major Asian stock markets.

Abstract

This paper aims to evaluate the spillover effect of covid-19 shock on major global stock markets, including Shanghai, Hong Kong, Japan’s Nikkei, Korea, and Nasdaq stock markets, using daily data of stock prices during covid-19 pandemic period. Our findings indicate , while shocks on some of these markets have long term impact but they are of short term effect on other markets in the group. Impulse response function analysis indicate, the pandemic shock on Japan and Shanghai stock markets caused persistent effects on Hong Kong stock market, but the shock on Nasdaq stock market caused transitory short-term effect on Hong Kong stock market. The pandemic shock on Hong Kong, Japan, and Nasdaq stock markets caused persistent impact on Korea stock market, but no persistent effects evidenced on Shanghai and Nasdaq stock markets from transmission of shocks on the other markets in the group.

• Item Type: MPRA Paper
• Language: English
• Keywords: covid-19; impulse response effect; Asia; stock markets
• Subjects: G - Financial Economics > G2 - Financial Institutions and Services; G - Financial Economics > G2 - Financial Institutions and Services > G20 - General; G - Financial Economics > G3 - Corporate Finance and Governance; G - Financial Economics > G3 - Corporate Finance and Governance > G32 - Financing Policy ; Financial Risk and Risk Management ; Capital and Ownership Structure ; Value of Firms ; Goodwill

References

Bloom N., Floetot M., Jaimovich N., Sapora I., and Terry S., (2014). Really uncertain business cycles. NBER, WP 13385. Cochrane J., (2020).What shape recovery? Available at https://johnchcochrane.blogspot.com/2020/04/waht-shape-recovery.htmi(2020/04/06) Dingel, J., and Neiman B.,(2020). How many jobs can be done at home? Covid Economics, 1, 16-24. Drukker, 87–178. Bingley, UK: Emerald. . 2011b. Markov switching models in empirical finance. In Advances in Econometrics: Vol. 27B—Missing Data Methods: Time-series Methods and Applications, ed. D. M. Drukker, 1–86. Bingley, UK: Emerald. Engel, C., and J. D. Hamilton. 1990. Long swings in the dollar: Are they in the data and do markets know it? American Economic Review 80: 689–713. Fajgelbaum, P., Schael E., and Tascherau D., (2014). Uncertainty traps.NBER, WP 19973. Fr¨uhwirth-Schnatter, S. 2006. Finite Mixture and Markov Switching Models. New York: Springer. Jaimovich N., and Rebelo S.,(2006).Can News about the future drive the business cycle? American Economic Review.99(4), 1097-1118. Garcia, R., and P. Perron. 1996. An analysis of the real interest rate under regime shifts. Review of Economics and Statistics 78: 111–125. Goldfeld, S. M., and R. E. Quandt. 1973. A Markov model for switching regressions. Journal of Econometrics 1: 3–15. Guidolin, M. 2011a. Markov switching in portfolio choice and asset pricing models: A survey. In Advances in Econometrics: Vol. 27B—Missing Data Methods: Time-series Methods and Applications, ed. D. M. Drukker, 87–178. Bingley, UK: Emerald. ----------. 2011b. Markov switching models in empirical finance. In Advances in Econometrics: Vol. 27B—Missing Data Methods: Time-series Methods and Applications, ed. D. M. Drukker, 1–86. Bingley, UK: Emerald.