The impact of Covid-19 on G7 stock markets volatility:Evidence from a ST-HAR model

Izzeldin, Marwan and Muradoglu, Gulnur and Pappas, Vasileios and Sivaprasad, Sheeja (2021) The impact of Covid-19 on G7 stock markets volatility:Evidence from a ST-HAR model. International Review of Financial Analysis, 74. ISSN 1057-5219

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We investigate the impact of Covid-19 on stock markets across G7 countries and their business sectors. We highlight the synchronicity and severity of this unprecedented crisis. We find strong transition evidence to a crisis regime in all countries and sectors, yet crisis intensity and timings vary. The Health Care and Consumer services sectors were the most severely affected; a reflection of the Covid-19 drug-race and international travel restrictions. The Technology sector was hit the latest and least severely, as imposed lockdown measures forced people to explore various web-based entertainment and distraction options. Country-wise the UK and the US were the most affected with the highest heterogeneity in their business sectors' response; a possible reflection of the ambiguity in the initial response and adoption of lockdown measures. Financial markets' response to Covid-19 is akin to response in previous financial crisis rather than previous pandemics. A series of robustness checks confirms our findings.

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Journal Article
Journal or Publication Title:
International Review of Financial Analysis
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This is the author’s version of a work that was accepted for publication in International Review of Financial Analysis. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in International Review of Financial Analysis, 74, 2021 DOI: 10.1016/j.irfa.2021.101671
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02 Feb 2021 14:35
Last Modified:
08 Oct 2023 01:34