Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis

This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019-April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, a...

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Published in:	International journal of environmental research and public health Vol. 17; no. 18; p. 6729
Main Authors:	Gherghina, Ștefan Cristian, Armeanu, Daniel Ștefan, Joldeș, Camelia Cătălina
Format:	Journal Article
Language:	English
Published:	Switzerland MDPI AG 15-09-2020 MDPI
Subjects:	Autoregressive models Betacoronavirus Causality China Commerce - economics Coronavirus Infections - economics Coronaviruses COVID-19 Crude oil prices Economic conditions Economic Development Economic growth Emerging markets Food supply France GDP Germany Gross Domestic Product Humans International finance Investments Italy Outbreaks Pandemics Pandemics - economics Pneumonia, Viral - economics Recessions Romania SARS-CoV-2 Securities markets Severe acute respiratory syndrome coronavirus 2 Silver Social responsibility Spain Stock exchanges Supply chains Sustainability United Kingdom United States Romania United States China Italy United Kingdom France Germany Spain Canada United Kingdom > UK United States > US COVID-19 stock market ARDL model Granger causality
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Abstract	This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019-April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths' cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.
AbstractList	This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019-April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths' cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019-April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths' cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index. This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market returns were used over the period of December 31, 2019–April 20, 2020 for the following economies: USA, Spain, Italy, France, Germany, UK, China, and Romania. The study applied the autoregressive distributed lag (ARDL) model to explore whether the Romanian stock market is impacted by the crisis generated by novel coronavirus. Granger causality was employed to investigate the causalities among COVID-19 and stock market returns, as well as between pandemic measures and several commodities. The outcomes of the ARDL approach failed to find evidence towards the impact of Chinese COVID-19 records on the Romanian financial market, neither in the short-term, nor in the long-term. On the other hand, our quantitative approach reveals a negative effect of the new deaths’ cases from Italy on the 10-year Romanian bond yield both in the short-run and long-run. The econometric research provide evidence that Romanian 10-year government bond is more sensitive to the news related to COVID-19 than the index of the Bucharest Stock Exchange. Granger causality analysis reveals causal associations between selected stock market returns and Philadelphia Gold/Silver Index.
Author	Joldeș, Camelia Cătălina Gherghina, Ștefan Cristian Armeanu, Daniel Ștefan
AuthorAffiliation	Department of Finance, Bucharest University of Economic Studies, 6 Piata Romana, 010374 Bucharest, Romania; darmeanu@yahoo.com (D.Ș.A.); joldes.catalina@yahoo.com (C.C.J.)
AuthorAffiliation_xml	– name: Department of Finance, Bucharest University of Economic Studies, 6 Piata Romana, 010374 Bucharest, Romania; darmeanu@yahoo.com (D.Ș.A.); joldes.catalina@yahoo.com (C.C.J.)
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Copyright	2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License. 2020 by the authors. 2020
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Snippet	This paper examines the linkages in financial markets during coronavirus disease 2019 (COVID-19) pandemic outbreak. For this purpose, daily stock market...
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SubjectTerms	Autoregressive models Betacoronavirus Causality China Commerce - economics Coronavirus Infections - economics Coronaviruses COVID-19 Crude oil prices Economic conditions Economic Development Economic growth Emerging markets Food supply France GDP Germany Gross Domestic Product Humans International finance Investments Italy Outbreaks Pandemics Pandemics - economics Pneumonia, Viral - economics Recessions Romania SARS-CoV-2 Securities markets Severe acute respiratory syndrome coronavirus 2 Silver Social responsibility Spain Stock exchanges Supply chains Sustainability United Kingdom United States
Title	Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis
URI	https://www.ncbi.nlm.nih.gov/pubmed/32942766 https://www.proquest.com/docview/2825147639 https://www.proquest.com/docview/2444384893 https://pubmed.ncbi.nlm.nih.gov/PMC7558856
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