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...
Gespeichert in:
| Veröffentlicht in: | International journal of environmental research and public health 2020-09, Vol.17 (18), p.6729 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | |
|---|---|
| container_issue | 18 |
| container_start_page | 6729 |
| container_title | International journal of environmental research and public health |
| container_volume | 17 |
| creator | Gherghina, Ștefan Cristian Armeanu, Daniel Ștefan Joldeș, Camelia Cătălina |
| description | 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. |
| doi_str_mv | 10.3390/ijerph17186729 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_pubme</sourceid><recordid>TN_cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_7558856</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>2444384893</sourcerecordid><originalsourceid>FETCH-LOGICAL-c418t-40752df41752191cc467762f8b14e672d28e7bb50018c8d22536c80c728b49d23</originalsourceid><addsrcrecordid>eNpdkc1v1DAQxS1ERUvhyhFZ4sIlrb9iOxyQtttSKi1aKIWr5ThO693EXmxnpT3yn2PUD7U9zUjzm6d58wB4h9ERpQ06disbNzdYYMkFaV6AA8w5qhhH-OWjfh-8TmmFEJWMN6_APiUNI4LzA_D3Zw5mDb_puLYZXlptsgs-wRzgfPn74rTCDfyufWdHZ-Byym20ev0J_pi0zy7r7LYWnm1dZ72xsI9hhLPL0wU8CZPvEryyKSdY1uF51P7aRjjXU9KDyzs483rYJZfegL1eD8m-vauH4NeXs6v512qxPL-YzxaVYVjmiiFRk65nuBTcYGMYF4KTXraY2eK9I9KKtq0RwtLIjpCaciOREUS2rOkIPQSfb3U3Uzvazlifox7UJrpRx50K2qmnE-9u1HXYKlHXUta8CHy8E4jhz1ScqdElY4dBexumpAhjrDxYNrSgH56hqzDFYrhQktSYCU6bQh3dUiaGlKLtH47BSP1PVz1Ntyy8f2zhAb-Pk_4Dsyag1Q</addsrcrecordid><sourcetype>Open Access Repository</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2825147639</pqid></control><display><type>article</type><title>Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis</title><source>MDPI - Multidisciplinary Digital Publishing Institute</source><source>MEDLINE</source><source>EZB-FREE-00999 freely available EZB journals</source><source>PubMed Central</source><source>Free Full-Text Journals in Chemistry</source><source>PubMed Central Open Access</source><creator>Gherghina, Ștefan Cristian ; Armeanu, Daniel Ștefan ; Joldeș, Camelia Cătălina</creator><creatorcontrib>Gherghina, Ștefan Cristian ; Armeanu, Daniel Ștefan ; Joldeș, Camelia Cătălina</creatorcontrib><description>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.</description><identifier>ISSN: 1660-4601</identifier><identifier>ISSN: 1661-7827</identifier><identifier>EISSN: 1660-4601</identifier><identifier>DOI: 10.3390/ijerph17186729</identifier><identifier>PMID: 32942766</identifier><language>eng</language><publisher>Switzerland: MDPI AG</publisher><subject>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</subject><ispartof>International journal of environmental research and public health, 2020-09, Vol.17 (18), p.6729</ispartof><rights>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.</rights><rights>2020 by the authors. 2020</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c418t-40752df41752191cc467762f8b14e672d28e7bb50018c8d22536c80c728b49d23</citedby><cites>FETCH-LOGICAL-c418t-40752df41752191cc467762f8b14e672d28e7bb50018c8d22536c80c728b49d23</cites><orcidid>0000-0003-2911-6480</orcidid></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.ncbi.nlm.nih.gov/pmc/articles/PMC7558856/pdf/$$EPDF$$P50$$Gpubmedcentral$$Hfree_for_read</linktopdf><linktohtml>$$Uhttps://www.ncbi.nlm.nih.gov/pmc/articles/PMC7558856/$$EHTML$$P50$$Gpubmedcentral$$Hfree_for_read</linktohtml><link.rule.ids>230,314,723,776,780,881,27901,27902,53766,53768</link.rule.ids><backlink>$$Uhttps://www.ncbi.nlm.nih.gov/pubmed/32942766$$D View this record in MEDLINE/PubMed$$Hfree_for_read</backlink></links><search><creatorcontrib>Gherghina, Ștefan Cristian</creatorcontrib><creatorcontrib>Armeanu, Daniel Ștefan</creatorcontrib><creatorcontrib>Joldeș, Camelia Cătălina</creatorcontrib><title>Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis</title><title>International journal of environmental research and public health</title><addtitle>Int J Environ Res Public Health</addtitle><description>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.</description><subject>Autoregressive models</subject><subject>Betacoronavirus</subject><subject>Causality</subject><subject>China</subject><subject>Commerce - economics</subject><subject>Coronavirus Infections - economics</subject><subject>Coronaviruses</subject><subject>COVID-19</subject><subject>Crude oil prices</subject><subject>Economic conditions</subject><subject>Economic Development</subject><subject>Economic growth</subject><subject>Emerging markets</subject><subject>Food supply</subject><subject>France</subject><subject>GDP</subject><subject>Germany</subject><subject>Gross Domestic Product</subject><subject>Humans</subject><subject>International finance</subject><subject>Investments</subject><subject>Italy</subject><subject>Outbreaks</subject><subject>Pandemics</subject><subject>Pandemics - economics</subject><subject>Pneumonia, Viral - economics</subject><subject>Recessions</subject><subject>Romania</subject><subject>SARS-CoV-2</subject><subject>Securities markets</subject><subject>Severe acute respiratory syndrome coronavirus 2</subject><subject>Silver</subject><subject>Social responsibility</subject><subject>Spain</subject><subject>Stock exchanges</subject><subject>Supply chains</subject><subject>Sustainability</subject><subject>United Kingdom</subject><subject>United States</subject><issn>1660-4601</issn><issn>1661-7827</issn><issn>1660-4601</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2020</creationdate><recordtype>article</recordtype><sourceid>EIF</sourceid><sourceid>BENPR</sourceid><recordid>eNpdkc1v1DAQxS1ERUvhyhFZ4sIlrb9iOxyQtttSKi1aKIWr5ThO693EXmxnpT3yn2PUD7U9zUjzm6d58wB4h9ERpQ06disbNzdYYMkFaV6AA8w5qhhH-OWjfh-8TmmFEJWMN6_APiUNI4LzA_D3Zw5mDb_puLYZXlptsgs-wRzgfPn74rTCDfyufWdHZ-Byym20ev0J_pi0zy7r7LYWnm1dZ72xsI9hhLPL0wU8CZPvEryyKSdY1uF51P7aRjjXU9KDyzs483rYJZfegL1eD8m-vauH4NeXs6v512qxPL-YzxaVYVjmiiFRk65nuBTcYGMYF4KTXraY2eK9I9KKtq0RwtLIjpCaciOREUS2rOkIPQSfb3U3Uzvazlifox7UJrpRx50K2qmnE-9u1HXYKlHXUta8CHy8E4jhz1ScqdElY4dBexumpAhjrDxYNrSgH56hqzDFYrhQktSYCU6bQh3dUiaGlKLtH47BSP1PVz1Ntyy8f2zhAb-Pk_4Dsyag1Q</recordid><startdate>20200915</startdate><enddate>20200915</enddate><creator>Gherghina, Ștefan Cristian</creator><creator>Armeanu, Daniel Ștefan</creator><creator>Joldeș, Camelia Cătălina</creator><general>MDPI AG</general><general>MDPI</general><scope>CGR</scope><scope>CUY</scope><scope>CVF</scope><scope>ECM</scope><scope>EIF</scope><scope>NPM</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>3V.</scope><scope>7X7</scope><scope>7XB</scope><scope>88E</scope><scope>8C1</scope><scope>8FI</scope><scope>8FJ</scope><scope>8FK</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>CCPQU</scope><scope>COVID</scope><scope>DWQXO</scope><scope>FYUFA</scope><scope>GHDGH</scope><scope>K9.</scope><scope>M0S</scope><scope>M1P</scope><scope>PIMPY</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>7X8</scope><scope>5PM</scope><orcidid>https://orcid.org/0000-0003-2911-6480</orcidid></search><sort><creationdate>20200915</creationdate><title>Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis</title><author>Gherghina, Ștefan Cristian ; Armeanu, Daniel Ștefan ; Joldeș, Camelia Cătălina</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c418t-40752df41752191cc467762f8b14e672d28e7bb50018c8d22536c80c728b49d23</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2020</creationdate><topic>Autoregressive models</topic><topic>Betacoronavirus</topic><topic>Causality</topic><topic>China</topic><topic>Commerce - economics</topic><topic>Coronavirus Infections - economics</topic><topic>Coronaviruses</topic><topic>COVID-19</topic><topic>Crude oil prices</topic><topic>Economic conditions</topic><topic>Economic Development</topic><topic>Economic growth</topic><topic>Emerging markets</topic><topic>Food supply</topic><topic>France</topic><topic>GDP</topic><topic>Germany</topic><topic>Gross Domestic Product</topic><topic>Humans</topic><topic>International finance</topic><topic>Investments</topic><topic>Italy</topic><topic>Outbreaks</topic><topic>Pandemics</topic><topic>Pandemics - economics</topic><topic>Pneumonia, Viral - economics</topic><topic>Recessions</topic><topic>Romania</topic><topic>SARS-CoV-2</topic><topic>Securities markets</topic><topic>Severe acute respiratory syndrome coronavirus 2</topic><topic>Silver</topic><topic>Social responsibility</topic><topic>Spain</topic><topic>Stock exchanges</topic><topic>Supply chains</topic><topic>Sustainability</topic><topic>United Kingdom</topic><topic>United States</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Gherghina, Ștefan Cristian</creatorcontrib><creatorcontrib>Armeanu, Daniel Ștefan</creatorcontrib><creatorcontrib>Joldeș, Camelia Cătălina</creatorcontrib><collection>Medline</collection><collection>MEDLINE</collection><collection>MEDLINE (Ovid)</collection><collection>MEDLINE</collection><collection>MEDLINE</collection><collection>PubMed</collection><collection>CrossRef</collection><collection>ProQuest Central (Corporate)</collection><collection>Health & Medical Collection</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>Medical Database (Alumni Edition)</collection><collection>Public Health Database</collection><collection>Hospital Premium Collection</collection><collection>Hospital Premium Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>ProQuest One Community College</collection><collection>Coronavirus Research Database</collection><collection>ProQuest Central Korea</collection><collection>Health Research Premium Collection</collection><collection>Health Research Premium Collection (Alumni)</collection><collection>ProQuest Health & Medical Complete (Alumni)</collection><collection>Health & Medical Collection (Alumni Edition)</collection><collection>Medical Database</collection><collection>Publicly Available Content Database</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>MEDLINE - Academic</collection><collection>PubMed Central (Full Participant titles)</collection><jtitle>International journal of environmental research and public health</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Gherghina, Ștefan Cristian</au><au>Armeanu, Daniel Ștefan</au><au>Joldeș, Camelia Cătălina</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis</atitle><jtitle>International journal of environmental research and public health</jtitle><addtitle>Int J Environ Res Public Health</addtitle><date>2020-09-15</date><risdate>2020</risdate><volume>17</volume><issue>18</issue><spage>6729</spage><pages>6729-</pages><issn>1660-4601</issn><issn>1661-7827</issn><eissn>1660-4601</eissn><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.</abstract><cop>Switzerland</cop><pub>MDPI AG</pub><pmid>32942766</pmid><doi>10.3390/ijerph17186729</doi><orcidid>https://orcid.org/0000-0003-2911-6480</orcidid><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 1660-4601 |
| ispartof | International journal of environmental research and public health, 2020-09, Vol.17 (18), p.6729 |
| issn | 1660-4601 1661-7827 1660-4601 |
| language | eng |
| recordid | cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_7558856 |
| source | MDPI - Multidisciplinary Digital Publishing Institute; MEDLINE; EZB-FREE-00999 freely available EZB journals; PubMed Central; Free Full-Text Journals in Chemistry; PubMed Central Open Access |
| 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 |
| title | Stock Market Reactions to COVID-19 Pandemic Outbreak: Quantitative Evidence from ARDL Bounds Tests and Granger Causality Analysis |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-02-06T16%3A18%3A29IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_pubme&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Stock%20Market%20Reactions%20to%20COVID-19%20Pandemic%20Outbreak:%20Quantitative%20Evidence%20from%20ARDL%20Bounds%20Tests%20and%20Granger%20Causality%20Analysis&rft.jtitle=International%20journal%20of%20environmental%20research%20and%20public%20health&rft.au=Gherghina,%20%C8%98tefan%20Cristian&rft.date=2020-09-15&rft.volume=17&rft.issue=18&rft.spage=6729&rft.pages=6729-&rft.issn=1660-4601&rft.eissn=1660-4601&rft_id=info:doi/10.3390/ijerph17186729&rft_dat=%3Cproquest_pubme%3E2444384893%3C/proquest_pubme%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2825147639&rft_id=info:pmid/32942766&rfr_iscdi=true |