IMPACT OF COVID-19 ON FINANCIAL MARKETS: CASE OF THE ITALIAN STOCK EXCHANGE
IMPACT OF COVID-19 ON FINANCIAL MARKETS: CASE OF THE ITALIAN STOCK EXCHANGE
Author(s): MAHFOUD DJEBBAR, ADILA MERIMETSubject(s): National Economy, Supranational / Global Economy, Health and medicine and law, Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: Covid-19; financial markets; Italian stock exchange; VAR;
Summary/Abstract: The aim of this study is to shed light on the repercussions of Corona pandemic on financial markets. Using the Vector Autoregression, VAR, model, we estimate the relationship between the Italian Stock Exchange’s Index, FTSEMib, and the number of cases and deaths by Covid-19 in Italy over the period February 24, 2020 to May 15, 2020. We find that both the number of infections and the number of deaths from Coronavirus negatively affect the stock market, and that the analysis of variance shows that the relative importance of daily infections by Covid-19 in explaining the fluctuations of the Italian Stock Exchange index has reached 17% in the medium and long terms, while the relative importance of daily deaths from Covid-19 in explaining the fluctuations of the Italian Stock Exchange index does not exceed 2% in the medium and long terms.
Journal: Review of Economic and Business Studies (REBS)
- Issue Year: 2021
- Issue No: 27
- Page Range: 9-31
- Page Count: 23
- Language: English
