Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/239443 
Year of Publication: 
2021
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 14 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-25
Publisher: 
MDPI, Basel
Abstract: 
The COVID 19 pandemic has had wide-ranging and severe effects on global economies. Stock markets as usual were the first to react, with drop rates as much as the global financial crises of 2008. This study uses daily data to model the dynamic impact of the COVID 19 pandemic on the first affected countries' stock market indices and the global commodity markets. The panel least squares Vector Auto-Regressive (VAR) estimation results confirm the negative short-termed impact of the virus spread rate on the returns of the stock market indices. The spread rate is also significant to explain changes related to the prices of platinum, silver, West Texas Intermediate (WTI), and Brent crude oil.
Subjects: 
panel VAR
stock market indices
COVID 19
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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