Impact of Infectious Diseases on Stock Markets: Evidence from Developed Markets

Lögün Anıl (), Aydin Buket and Aydin Rahman
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Lögün Anıl: Atatürk University, Faculty of Economics and Administrative Sciences, Department of Econometrics, Erzurum, Türkiye.
Aydin Buket: Atatürk University, Faculty of Economics and Administrative Sciences, Department of Economics, Erzurum, Türkiye.
Aydin Rahman: Bitlis Eren University, Faculty of Economics and Administrative Sciences, Department of Economics, Bitlis, Türkiye.

Zagreb International Review of Economics and Business, 2024, vol. 27, issue 2, 223-236

Abstract: This study investigates the relationship between developed country market indices and the infectious disease stock market volatility index between March 11, 2020, and March 11, 2022. Thus, we seek an answer to the question of how global shocks will affect developed countries. In this context, indices such as S&P 500, CAC 40 and NIKKEI 225 are considered to represent developed country markets. The findings of the study indicate that the infectious disease stock market volatility index variable is significant, according to the GARCH model estimation for the CAC 40 index. In the EGARCH model estimation results for the NIKKEI 225 and S&P 500 indices, the infectious disease stock market volatility index variable is found to be significant. The results of this paper are important for policymaking by governments, investors, and the corporate sector in order to avoid future developments that could lead to financial shocks.

Keywords: Covid-19; Advanced markets; Asymmetric relationship; GARCH; EGARCH (search for similar items in EconPapers)
JEL-codes: D53 G01 G14 G15 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:zirebs:v:27:y:2024:i:2:p:223-236:n:1010

DOI: 10.2478/zireb-2024-0024

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