Stock Market Responses to COVID-19: The Behaviors of Mean Reversion, Dependence and Persistence

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. The evidence suggests that stock markets generally follow a synchronized movement before and the stages of the pandemic shocks. We find while mean reversion significantly declines, the degree of persistence and dependence has been increased in the majority of the stock market indices in whole sample analysis covering the period of 02.08.2019 and 09.07.2020. 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: C2 C22 (search for similar items in EconPapers)
Date: 2023-04-09
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (2)

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