COVID-19 and stock returns: Evidence from the Markov switching dependence approach.

This paper aims to investigate the regime-switching and time-varying dependence between the COVID-19 pandemic and the US stock markets using a Markov-switching framework. It makes two contributions to the empirical literature by showing that: (a) the variations of the daily reported COVID-19 cases and cumulative COVID-19 deaths induced asymmetric lower (left) and upper (right) tail dependence with the stock markets, and its left and right tail dependence exhibited significant time-varying trends; and (b) the left and right tail dependence between the stock markets and the pandemic exhibited significant regime-switching behaviours, with its switching probabilities in the higher tail dependence stage all being greater than in the lower tail dependence stage after 1 December 2019. Moreover, given that there is concurrent but significant financial market reaction to any unexpected emergence of a transmittable respirational disease or a natural calamity, the outcomes have some vital implications to market players and policymakers.

THE IMPACT of COVID-19 on the VOLATILITY of BRICS STOCK RETURNS

This study analyzes for the first time the impact of the novel coronavirus known as COVID-19 on stock market volatility for the BRICS countries (Brazil, Russia, India, China, and South Africa) using the GJR-GARCH model. We find that during the coronavirus period, Brazil, India, and South Africa exhibit very high volatility, with negative returns exceeding those faced by these indices during the 2008 financial crisis. On the other hand, the Russian and Chinese indices are shown to have faced greater volatility during the 2008 crisis than they have so far exhibited due to coronavirus. Furthermore, the results of the GJR-GARCH models show that COVID-19 variable has a significant positive impact on stock market volatility for Brazil, India, China, and South Africa but an insignificant impact for Russia. Moreover, of these nations, Brazil has thus far been most heavily affected by the virus, followed by South Africa, China, and India © 2022 AESS Publications.

Action for Action: Mad COVID-19, Falling Markets and Rising Volatility of SAARC Region

The Southern Region has reported a large number of contagious pandemic outbreaks. These epidemics brought threats to human health and resulted in serious economic losses. The COVID-19 is a global virus and has weakened the global financial markets with significant effect on stock returns and market volatilities. The study obtained a dataset about the financial market structure of South Asian Association for Regional Cooperation (SAARC) Countries. The purpose of the study is to determine the effect of 2019-nCov on stock market performance of SAARC member states. The study considered indexes of the National Stock Exchanges of each country and applied an event study approach for estimating the impact of Mad COVID-19 on the stock returns and market volatilities with an event window of 25 days of severe pandemic hits. The CAR approach proved the declining effect of Mad COVID-19 on the stock returns of SAARC countries. Asymmetric GJR-GARCH Model estimated the changeable volatility and proved the increase in volatility with COVID-19 as a negative shock. SAARC Region significantly reacts to Mad COVID-19 with falling markets and rising volatility.