A survival analysis in the assessment of the influence of the SARS-CoV-2 pandemic on the probability and intensity of decline in the value of stock indices

Beata Bieszk-Stolorz () and Krzysztof Dmytrów ()
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Beata Bieszk-Stolorz: University of Szczecin
Krzysztof Dmytrów: University of Szczecin

Eurasian Economic Review, 2021, vol. 11, issue 2, No 6, 363-379

Abstract: Abstract The aim of the study is to assess the strength of the world stock exchanges reaction to the SARS-CoV-2 coronavirus pandemic at the turn of 2019–2020. We analyze the risk and intensity of the decline in the values of the basic stock indices by means of selected methods of survival analysis. The spreading pandemic within a few months covered all continents and had a significant impact on the socio-economic situation of all countries. We studied the time of the 20% drop in stock market indices. This is a value that is taken as a sign of a crisis. In order to assess the probability of indices’ value decrease, we use the Kaplan–Meier’s estimator. We determine the risk of decline by means of a logit model and the intensity of the decline by means of an empirical hazard estimator and the Cox proportional hazard model. The intensity and risk of the decline of stock indices varied from continent to continent. The obtained results show that the intensity is highest in the fourth and eighth week after the peak and is the highest on European exchanges and then American and Asian exchanges (including Australia). The risk of falling the stock indices’ prices is the highest in America, followed by Europe, Asia and Australia, and lowest in Africa. Half of the analyzed indices record a 20% drop in value after 52 days (median duration). The study is a prelude to further analyses related to the crisis and the normalization of the situation on world stock exchanges. It allows to learn about the impact of the pandemic on the economic situation and to detect the differences between the continents.

Keywords: SARS-CoV-2 pandemic; Stock indices; Survival analysis models; Risk assessment (search for similar items in EconPapers)
JEL-codes: C14 C41 G01 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (9)

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DOI: 10.1007/s40822-021-00172-7

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