The impact of COVID-19 on global stock markets: early linear and non-linear evidence for Italy

Theodoros Daglis, Ioannis G. Melissaropoulos, Konstantinos Konstantakis and Panayotis Michaelides
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Ioannis G. Melissaropoulos: National Technical University of Athens

Evolutionary and Institutional Economics Review, 2022, vol. 19, issue 1, No 22, 485-495

Abstract: Abstract The scientific community still struggles to understand the magnitude of the worldwide infections and deaths induced by COVID-19, partly ignoring the financial consequences. In this paper, using the autoregressive fractionally integrated moving average (ARFIMA)—general autoregressive conditional heteroskedasticity (GARCH) model, we quantify and show the impact of the COVID-19 spread in Italy, utilizing data for the stock market. Using information criteria and forecasting accuracy measures, we show that the COVID-19 confirmed cases contribute with statistically significant information to the modeling of volatility, and also increase the forecasting ability of the volatility of the Italian stock market index, leading to a decrease in the mean stock index.

Keywords: COVID-19; Stock market; Italy (search for similar items in EconPapers)
JEL-codes: C22 C50 C51 C58 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s40844-021-00230-4

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