Using a dataset including financial market returns and volatility proxies for several countries, we analyzed the impact of Covid-19 deaths on the financial economy. From the modeling perspective, we consider a spatial panel data model for returns and a spatial dynamic panel data for volatilities. Proper marginal effects are calculated to exploit information on short- and long-term effects. A Chow test is used to identify the existence of a structural break in each series. Our empirical evidence shows that in the first weeks of the Covid-19 outbreak, until mid-March 2020, the identified break date, the spatial effect of Covid-19 deaths was statistically significant, leading to a contraction in returns and an increase in risk. Moreover, the effects disappeared in the remaining months as the financial markets moved back to precrisis levels, causing a decrease in the overall risk. Our evidence supports the behavioral impact of the pandemic on financial markets.

Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects / Anna Gloria Bille'; Massimiliano Caporin. - In: JOURNAL OF SPATIAL ECONOMETRICS. - ISSN 2662-2998. - STAMPA. - 3:1(2022), pp. 8.1-8.21. [10.1007/s43071-022-00025-8]

Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects

Anna Gloria Bille'
Primo
;
2022

Abstract

Using a dataset including financial market returns and volatility proxies for several countries, we analyzed the impact of Covid-19 deaths on the financial economy. From the modeling perspective, we consider a spatial panel data model for returns and a spatial dynamic panel data for volatilities. Proper marginal effects are calculated to exploit information on short- and long-term effects. A Chow test is used to identify the existence of a structural break in each series. Our empirical evidence shows that in the first weeks of the Covid-19 outbreak, until mid-March 2020, the identified break date, the spatial effect of Covid-19 deaths was statistically significant, leading to a contraction in returns and an increase in risk. Moreover, the effects disappeared in the remaining months as the financial markets moved back to precrisis levels, causing a decrease in the overall risk. Our evidence supports the behavioral impact of the pandemic on financial markets.
2022
Impact of COVID-19 on financial returns: a spatial dynamic panel data model with random effects / Anna Gloria Bille'; Massimiliano Caporin. - In: JOURNAL OF SPATIAL ECONOMETRICS. - ISSN 2662-2998. - STAMPA. - 3:1(2022), pp. 8.1-8.21. [10.1007/s43071-022-00025-8]
Anna Gloria Bille'; Massimiliano Caporin
File in questo prodotto:
File Dimensione Formato  
published paper.pdf

accesso aperto

Descrizione: Articolo in rivista scientifica
Tipo: Versione (PDF) editoriale
Licenza: Licenza per Accesso Aperto. Creative Commons Attribuzione (CCBY)
Dimensione 697.68 kB
Formato Adobe PDF
697.68 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/898006
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact