Build resilience to overcome panic? Examining the global capital market during the COVID-19 pandemic

Ming Liu, Qizhi Tao, Xiangjin Wang and Hongyong Zhou

International Review of Economics & Finance, 2023, vol. 88, issue C, 670-682

Abstract: Using stock indexes from 56 countries/regions and sovereign bond indexes from 57 countries during 2019/12/31 to 2021/12/31, we investigate the global market reactions to the COVID-19 pandemic after considering the resilience of supply chain and logistics. Both stock and bond markets have dropped significantly during the pandemic period; however, such a pandemic-induced drop in stock and bond markets becomes weaker for countries/regions with resilient supply chain and better logistics performance. Such effects are stronger when there is no COVID-19 vaccine and government policy responses to COVID-19 spread becomes stringent. A long-short portfolio of the stock and bond indexes from the countries/regions with the best and worst supply chain and logistics can generate significant abnormal returns.

Keywords: Supply chain resilience; Logistics performance; Covid-19; Stock index; Sovereign bond index; Long-short portfolio (search for similar items in EconPapers)
JEL-codes: F30 G10 I10 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:88:y:2023:i:c:p:670-682

DOI: 10.1016/j.iref.2023.07.015

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