The impact of the covid-19 pandemic on major Asian stock markets: evidence of decoupling effects

Ibrahim Onour

MPRA Paper from University Library of Munich, Germany

Abstract: Abstracts: This paper investigates the impact of covid-19 pandemic on stock markets behavior in Asia stock markets: Shanghai, Hong Kong , Japan, and Korea during the period 12/2/2019 to 13/3/ 2020. Results indicate evidence of two states that distinguish the behavior of the stock markets during the sample period. In state 1, Shanghai stock market reacted positively to Hong Kong and Japan stock markets behavior, but in state 2, Hong Kong stock market digressed and Japan’s Nikkie remained a strong driver of Shanghai stock market. Our findings also indicate in state 1, Hong Kong market was significantly influenced by Korea stock market, but in state 2, reacted significantly to the news from Shanghai stock market, and then digressed from Korea stock market behavior. The response of Japan stock exchange indicate Nikkei was strongly linked with Shanghai stock exchange in state 1, but decoupled from all three markets in state 2.

Keywords: covid-19; Markov switching; Asia; stock markets (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 (search for similar items in EconPapers)
Date: 2021-06-02
New Economics Papers: this item is included in nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/115994/1/MPRA_paper_115994.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:115994

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().