Stock Market Responses to COVID-19: Mean Reversion, Dependence and Persistence Behaviours

Yener Coskun (), Omokolade Akinsomi, Luis Gil-Alana and Olaoluwa Yaya

MPRA Paper from University Library of Munich, Germany

Abstract: We examine stock market responses during the COVID-19 pandemic period using fractional integration techniques by considering the data spanning from August 2nd 2019 to July 9th 2020. The evidence suggests that stock markets generally follow a synchronized movement before and during the stages of the pandemic’s shocks. We find that, while mean reversion significantly declines, the degree of persistence and dependence has been increased in the majority of the stock market indices- in the full sample analysis. This outcome implies increasing integration and possibly declining benefits of diversification for the global stock portfolio management.

Keywords: Coronavirus; stock markets; fractional integration; long memory; mean reversion (search for similar items in EconPapers)
JEL-codes: C12 C22 F31 (search for similar items in EconPapers)
Date: 2021-09-09
New Economics Papers: this item is included in nep-cwa, nep-fmk, nep-isf and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:109827

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