Purpose- The purpose of this research is to contribute to the academic field by demonstrating long run and short run impact of Covid-19 virus on stock markets and CDS markets.
Methodology- In this paper, Johanse and Jeuselius (1990) Cointegration Test was used as the methodology to define the existence of thelong-run statistical relationship between Covid-19 data and economic variables of countries.
Findings- In the analysis, it was defined that there are at least two cointegration vectors in all countries. However, considering two countries- Italy and the USA, there is not significant long run relationship statistically. On the other hand, it can be noted that there is significant short run causality from CA to some variables. Moreover, there is no significant short run causality in France, Italy and the USA.
Conclusion- This article stated that there is the long term relationship between the total case of Covid-19 and China, France, Germany, the United Kingdom, Spain, Turkey. However, there is no long term relationship between the total cases of Covid-19 and France, Italy and the USA significantly. Furthermore, it can be said that there is significant short run causality from CA to some variables. However, there is no short run causality in France, Italy and the USA significantly. Finally, there is no long or short run causality in Italy and the USA.
Primary Language | English |
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Subjects | Finance, Business Administration |
Journal Section | Articles |
Authors | |
Publication Date | June 30, 2020 |
Published in Issue | Year 2020 |
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