The recovery of global stock markets indices after impacts due to pandemics
作者： S.A. David , C.M.C. Inácio Jr. , José A. Tenreiro Machado
DOI: 10.1016/J.RIBAF.2020.101335
关键词:
摘要: Abstract The COVID-19 brings back the debate about impact of disease outbreaks in economies and financial markets. error correction terms (ECT) cointegration processing tools have been applied studies for identifying possible transmission mechanisms between distinct time series. This paper adopts vector model (VECM) to investigate dynamic coupling pandemics (e.g., COVID-19, EBOLA, MERS SARS) evolution key stocks exchange indices Dow-Jones, S&P 500, EuroStoxx, DAX, CAC, Nikkei, HSI, Kospi, ASX, Nifty Ibov). results show that shocks caused by diseases significantly affected Nonetheless, except stock reveal a sustained fast recovering when an identical length window 79 days is analyzed. In addition, our findings contribute point higher volatility all during strong over Ibov-Brazil its poor recover compared other indices.
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