Assessing the reaction of the Baltic stock market to the spread of the COVID-19 pandemic

Greta Keliuotyte-Staniuleniene () and Julius Kviklis ()
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Greta Keliuotyte-Staniuleniene: Vilnius University, Faculty of Economics and Business Administration, Finance department, LT-10223 Vilnius, Lithuania
Julius Kviklis: Vilnius University, Faculty of Economics and Business Administration, Finance department, LT-10223 Vilnius, Lithuania

Technium Social Sciences Journal, 2021, vol. 25, issue 1, 260-272

Abstract: This research aims to assess the impact of the spread of the COVID-19 pandemic on the Baltic stock market. To reach this aim, the methods of bivariate (OLS) regression and VAR-based impulse response functions are employed. We use daily new cases of COVID-19 as well as the cumulative number of COVID-19 cases as independent and OMX Baltic Benchmark GI index as dependent variables for our research. The research period, covering data from 2020 March 1st  to 2020 November 21st, is divided into three separate periods, reflecting the different phases of the spread of the COVID-19 pandemic. The results of the research revealed that the market reaction differs depending on the period; moreover, the Baltic stock market index was affected by new cases and total cases in a slightly different manner.

Keywords: COVID-19 pandemic; stock market; stock index; impulse response (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:tec:journl:v:25:y:2021:i:1:p:260-272

DOI: 10.47577/tssj.v25i1.4995

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