The COVID-19 impact on the Asian Stock Markets

Luis Gil-Alana and Gloria Claudio-Quiroga ()
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Gloria Claudio-Quiroga: University of Navarra and Universidad Francisco de Vitoria, Spain

Asian Economics Letters, 2021, vol. 1, issue 2, 1-4

Abstract: In this note, we examine the impact that the COVID-19 crisis may have on the Asian stock markets by examining the statistical properties of three financial markets in Asia: namely, the Korean SE Kospi Index, the Japanese Nikkei 225, and the Chinese Shanghai Shenzhen CSI 300 Index. Using fractional integration methods, the results based on daily data indicate that mean reversion and thus transitory effects of shocks occur in the Nikkei 225 index. However, for the Kospi and Shanghai Shenzhen indices, this hypothesis is rejected, implying that shocks are permanent.

Keywords: long memory; persistence; asia; stock market; covid-19 (search for similar items in EconPapers)
JEL-codes: G15 I1 N25 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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