IMPACT OF COVID-19 ON FINANCIAL MARKETS: CASE OF THE ITALIAN STOCK EXCHANGE

Mahfoud Djebbar () and Adila Merimet ()
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Mahfoud Djebbar: Setif 1 University, Algeria, Research Laboratory: LEMAC
Adila Merimet: Guelma University, Algeria, Research Laboratory: LSDRG

Review of Economic and Business Studies, 2021, issue 27, 9-31

Abstract: The aim of this study is to shed light on the repercussions of Corona pandemic on financial markets. Using the Vector Autoregression, VAR, model, we estimate the relationship between the Italian Stock Exchange’s Index, FTSEMib, and the number of cases and deaths by Covid-19 in Italy over the period February 24, 2020 to May 15, 2020. We find that both the number of infections and the number of deaths from Coronavirus negatively affect the stock market, and that the analysis of variance shows that the relative importance of daily infections by Covid-19 in explaining the fluctuations of the Italian Stock Exchange index has reached 17% in the medium and long terms, while the relative importance of daily deaths from Covid-19 in explaining the fluctuations of the Italian Stock Exchange index does not exceed 2% in the medium and long terms.

Keywords: Covid-19; financial markets; Italian stock exchange; VAR (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 G18 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:aic:revebs:y:2021:j:27:djebbarm

DOI: 10.47743/rebs-2021-1-0001

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