 The Time-Varying Impact of Covid-19 on Stock Returns: Evidence on Developed Countries from a Bootstrap Rolling Window Causality MethodTürker Şimşek and Oktay Özkan Journal of Research in Economics, Politics & Finance, 2020, vol. 5, issue SI, 1-12 Abstract: This study examines the time-varying impact of the Novel Coronavirus (COVID-19) on stock returns by employing the bootstrap rolling window causality test. For this purpose, we use the daily data of COVID-19 confirmed cases and stock returns of six most hard-hit developed countries from the COVID-19 pandemic, namely France, Germany, Italy, Spain, the United Kingdom, and the United States. Before investigating the time-varying impact of COVID-19 on stock returns, we first examine the long-run relationship between COVID-19 confirmed cases and stock returns with the Kao panel cointegration method and we find that there exists a long-run relationship between variables. The bootstrap rolling window causality test results show that confirmed cases of COVID-19 have a time-varying impact on stock returns for each country. We also find that among the six developed countries in this study, the impact of daily COVID-19 confirmed cases on stock returns is the least in Germany, while it is the most in Italy. These results are thought to provide important information to market participants. Keywords: Stock Return; COVID-19; Pandemic; Kao Panel Cointegration; Bootstrap Rolling Window Causality (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ahs:journl:v:5:y:2020:i:si:p:1-12 Access Statistics for this article More articles in Journal of Research in Economics, Politics & Finance from Ersan ERSOY |
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