First to React Is the Last to Forgive: Evidence from the Stock Market Impact of COVID 19

Sherif Hassan and John Riveros Gavilanes

JRFM, 2021, vol. 14, issue 1, 1-25

Abstract: The COVID 19 pandemic has had wide-ranging and severe effects on global economies. Stock markets as usual were the first to react, with drop rates as much as the global financial crises of 2008. This study uses daily data to model the dynamic impact of the COVID 19 pandemic on the first affected countries’ stock market indices and the global commodity markets. The panel least squares Vector Auto-Regressive (VAR) estimation results confirm the negative short-termed impact of the virus spread rate on the returns of the stock market indices. The spread rate is also significant to explain changes related to the prices of platinum, silver, West Texas Intermediate (WTI), and Brent crude oil.

Keywords: panel VAR; stock market indices; COVID 19 (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Working Paper: First to React Is Last to Forgive: Evidence from the Stock Market Impact of COVID 19 (2020)
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