Dynamics of relationship between stock markets of SAARC countries during COVID-19 pandemic

Purpose The paper investigates the dynamic relationship among the stock markets of South Asian Association of Regional Cooperation (SAARC) countries during the COVID-19 pandemic. Design/methodology/approach Daily time-series data of four SAARC countries: India, Bangladesh, Pakistan, and Sri Lanka, from February 13th, 2013 to March 31st, 2021 are used. The study considers stock prices prior to the blowout of COVID-19 and during the onset of the pandemic. The novel estimation procedure of the autoregressive distributed lag model is used while the results are also confirmed by post-estimation techniques. Findings The study confirms that the COVID-19 contagion has adversely influenced the stock returns of SAARC countries. The findings signify that the pattern of cointegration has significantly different regularities in the pattern of causality in the long run and short run during the COVID-19 crisis. Overall, the study revealed that the COVID-19 pandemic has weakened the dynamic connection among the stock markets of SAARC countries. Practical implications To dampen uncertainties generated by the COVID-19 pandemic, the authorities and central banks should be equipped with efficient strategies and guidelines to cope with the crisis created by the pandemic. Further, governments should focus on assuaging the panic faced by investors and enhancing the confidence of domestic as well as foreign investors. Further, the weakened integration of financial markets during the crisis offers opportunities for speculative and arbitrage gains for investors. Originality/value The research work is an innovative effort to analyze the impression led by COVID-19 on the SAARC stock markets integration.

Effectiveness of social distancing interventions in containing COVID-19 incidence: International evidence using Kalman filter.

The epidemiological literature has widely documented the importance of social distancing interventions in containing the spread of the COVID-19 pandemic. However, the epidemiological measure of virus reproduction, R0, provides a myopic view of containment, especially when the absolute number of cases is still high. The paper investigates cross-country variations concerning the impact of social distancing interventions on COVID-19 incidence by employing a statistical measure of containment, which models the daily number of cases as a structural time-series, state-space vector. Countries that adopt strict lockdown policies and provide economic support in the form of income augmentations and debt relief improve the response towards the pandemic. Countries like China and South Korea have been most influential in containing the spread of infections. European nations of France, Italy, Spain and the UK are witnessing a second wave of the virus, indicating that re-opening the European economy perhaps has instigated an exponential spread.