Impact of the novel coronavirus on stock market returns: evidence from GCC countries
The novel coronavirus (COVID-19) is not only an unprecedented human and health crisis,but it is expected to become one of the most economically costly pandemics in recent history. Latest financial reports indicate that the COVID-19 outbreak is severely disrupting the global economy and financial mar...
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doaj-be3da49174d1418684576cc37a5a1a912020-12-23T03:28:45ZengAIMS PressQuantitative Finance and Economics2573-01342020-12-014464065210.3934/QFE.2020029Impact of the novel coronavirus on stock market returns: evidence from GCC countriesRaéf Bahrini0Assaf Filfilan1Department of Accounting, College of Business, University of Jeddah, Jeddah, Saudi ArabiaDepartment of Accounting, College of Business, University of Jeddah, Jeddah, Saudi ArabiaThe novel coronavirus (COVID-19) is not only an unprecedented human and health crisis,but it is expected to become one of the most economically costly pandemics in recent history. Latest financial reports indicate that the COVID-19 outbreak is severely disrupting the global economy and financial markets. Many equity markets around the world have endured heavy declines since the pandemic's outbreak. To provide an understanding of the effects of the novel coronavirus pandemic on stock markets,we investigate in this paper the impact of the COVID-19 confirmed cases and deaths on the daily returns of the major stock market indices in the Gulf Cooperation Council (GCC) countries over the period from April 1,2020 to June 26,2020. Using a panel data regression analysis,we find that stock markets in the GCC countries responded negatively and with a great degree to new and total COVID-19 confirmed deaths,while response to the number of COVID-19 confirmed cases is not significant. Therefore,during the COVID-19 outbreak daily returns of the major stock market indices in the GCC countries declined as the number of confirmed deaths increased. Further analysis suggests that GCC stock markets are impacted positively by the crude oil price (WTI) and negatively by the variation of the implied volatility in the global oil market and the global stock markets.https://www.aimspress.com/article/10.3934/QFE.2020029?viewType=HTMLcoronaviruscovid-19 outbreakstock market returnsgccpanel data modelstock market indicesconfirmed casesconfirmed deathscrude oil priceimplied volatility |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Raéf Bahrini Assaf Filfilan |
spellingShingle |
Raéf Bahrini Assaf Filfilan Impact of the novel coronavirus on stock market returns: evidence from GCC countries Quantitative Finance and Economics coronavirus covid-19 outbreak stock market returns gcc panel data model stock market indices confirmed cases confirmed deaths crude oil price implied volatility |
author_facet |
Raéf Bahrini Assaf Filfilan |
author_sort |
Raéf Bahrini |
title |
Impact of the novel coronavirus on stock market returns: evidence from GCC countries |
title_short |
Impact of the novel coronavirus on stock market returns: evidence from GCC countries |
title_full |
Impact of the novel coronavirus on stock market returns: evidence from GCC countries |
title_fullStr |
Impact of the novel coronavirus on stock market returns: evidence from GCC countries |
title_full_unstemmed |
Impact of the novel coronavirus on stock market returns: evidence from GCC countries |
title_sort |
impact of the novel coronavirus on stock market returns: evidence from gcc countries |
publisher |
AIMS Press |
series |
Quantitative Finance and Economics |
issn |
2573-0134 |
publishDate |
2020-12-01 |
description |
The novel coronavirus (COVID-19) is not only an unprecedented human and health crisis,but it is expected to become one of the most economically costly pandemics in recent history. Latest financial reports indicate that the COVID-19 outbreak is severely disrupting the global economy and financial markets. Many equity markets around the world have endured heavy declines since the pandemic's outbreak. To provide an understanding of the effects of the novel coronavirus pandemic on stock markets,we investigate in this paper the impact of the COVID-19 confirmed cases and deaths on the daily returns of the major stock market indices in the Gulf Cooperation Council (GCC) countries over the period from April 1,2020 to June 26,2020. Using a panel data regression analysis,we find that stock markets in the GCC countries responded negatively and with a great degree to new and total COVID-19 confirmed deaths,while response to the number of COVID-19 confirmed cases is not significant. Therefore,during the COVID-19 outbreak daily returns of the major stock market indices in the GCC countries declined as the number of confirmed deaths increased. Further analysis suggests that GCC stock markets are impacted positively by the crude oil price (WTI) and negatively by the variation of the implied volatility in the global oil market and the global stock markets. |
topic |
coronavirus covid-19 outbreak stock market returns gcc panel data model stock market indices confirmed cases confirmed deaths crude oil price implied volatility |
url |
https://www.aimspress.com/article/10.3934/QFE.2020029?viewType=HTML |
work_keys_str_mv |
AT raefbahrini impactofthenovelcoronavirusonstockmarketreturnsevidencefromgcccountries AT assaffilfilan impactofthenovelcoronavirusonstockmarketreturnsevidencefromgcccountries |
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