Comovement of stock markets pre- and post-COVID-19 pandemic: a study of Asian markets

Reetika Verma

IIM Ranchi Journal of Management Studies, 2023, vol. 3, issue 1, 25-38

Abstract: Purpose - The study aims is to explore the cointegration level among major Asian stock indices from pre- COVID-19 to post COVID-19 times. Design/methodology/approach - Johansen cointegration test is employed to know the long run relationship among the stock market indices of Hong Kong, Indonesia, Malaysia, Korea, India, Japan, China, Taiwan, Israel and South Korea. The empirical testing was done to analyze whether any significant change has been induced by the COVID-19 pandemic on the cointegrating relationship of the selected markets or not. Through statistics of trace test and maximum eigen value, total number of cointegrating equations present among all the indices during different study periods were analyzed. Findings - The presence of cointegration was found during all the sample periods and the findings suggests that the selected stock markets are associated with each other in general. During COVID-19 crisis period the cointegration level was reduced and again it regained its original level in the next year and again reduced in the subsequent next year. So, the cointegrating relationship among selected stock market indices remains dynamic and no evidence of impact of COVID-19 on this dynamism was found. Originality/value - The study has explored the level of cointegration among the major stock indices of Asian nations in the pre, during, post-crisis and the most recent periods. The interconnectedness of the stock markets during the COVID-19 times has been compared with similar periods in different years immediately preceding and succeeding the COVID-19 times which has not been done in any of the existing study.

Keywords: Stock market integration; Asian stock market; Augmented dickey-fuller test; Johansen cointegration test (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eme:irjmsp:irjms-09-2022-0086

DOI: 10.1108/IRJMS-09-2022-0086

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