ArticleInternational journal of environmental research and public health2020
Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis.
Article in International journal of environmental research and public health, 2020. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 12 papers.
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Who cites it
12 citing papers in PubMed.
- Article
- Usefulness and limitations of convergent cross sorting and continuity scaling methods for their application in simulated and real-world time series.Royal Society open science · 2023Article
- Article
- Exploring the use of Granger causality for the identification of chemical exposure based on physiological data.Frontiers in network physiology · 2023Article
- COVID-19 pandemic and financial innovations.Quality & quantity · 2022Article
- The Causality and Uncertainty of the COVID-19 Pandemic to Bursa Malaysia Financial Services Index's Constituents.Entropy (Basel, Switzerland) · 2022Article
- The changing economic relationship between some of the major COVID-19 impacted countries with prominent wealth: a comparative study from the view point of stock markets.The European physical journal. Special topics · 2022Article
- The Impact of the COVID-19 Pandemic on the Unpredictable Dynamics of the Cryptocurrency Market.Entropy (Basel, Switzerland) · 2021Article
- The Impact of COVID-19 Pandemic on Stock Market: Evidence from Romania.International journal of environmental research and public health · 2021Article
- The relationship between mobility and COVID-19 pandemic: Daily evidence from an emerging country by causality analysis.Transportation research interdisciplinary perspectives · 2021Article
- Effects of COVID-Induced Public Anxiety on European Stock Markets: Evidence From a Fear-Based Algorithmic Trading System.Frontiers in psychology · 2021Article
- COVID-19 Deaths Cases Impact on Oil Prices: Probable Scenarios on Saudi Arabia Economy.Frontiers in public healthArticle
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Authors and funding
3 authors.
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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.
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