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Year 2020, Volume: 9 Issue: 2, 155 - 170, 30.06.2020

Gercek Ozparlak

https://doi.org/10.17261/Pressacademia.2020.1221

Abstract

References

  • Acar, Y. (2020). Yeni Koronavirüs (Covid-19) Salgını ve Turizm Faaliyetlerine Etkisi. Güncel Turizm Araştırmaları Dergisi, 4(1), 7-21. doi:10.32572/guntad.703410
  • Ayittey, F. K., Ayittey, M. K., Chiwero, N. B., Kamasah, J. S., & Dzuvor, C. (2020). Economic impacts of Wuhan 2019‐nCoV on China and World. J Med Virol, 92(473-475). doi:10.1002/jmv.25706
  • Beutels, P., Jia, N., Zhou, Q.-Y., Smith, R., Cao, W.-C., & Vlas, S. (2009). The economic impact of SARS in Beijing, China. Tropical Medicine and International Health, 14(1), 85-91. doi:10.1111/j.1365-3156.2008.02210.x
  • Corbet, Shaen and Larkin, Charles James and Lucey, Brian M.,(2020) The Contagion Effects of the COVID-19 Pandemic: Evidence from Gold and Cryptocurrencies, Available at SSRN: https://ssrn.com/abstract=3564443 or http://dx.doi.org/10.2139/ssrn.3564443
  • Dey, S., Saha, S., & Akter, R. (2019). Short Run and Long Run Association between Real Exchange Rate and Trade Balance: Empirical Evidence from Bangladesh (Johansen Approach and Vector Error Correction Model). Global Journal of Human-Social Science : E Economics, 19(3).
  • Fernandes, Nuno, (2020). Economic Effects of Coronavirus Outbreak (COVID-19) on the World Economy. Available at SSRN: https://ssrn.com/abstract=3557504 or doi:10.2139/ssrn.3557504
  • Gbaiye, O. G., Ogundipe, A., Osabuohien, E., Olugbire, O. O., Adeniran, O. A., Bolaji-Olutunji1, K. A., . . . Oluwatomi , A. (2013). Agricultural Exports and Economic Growth in Nigeria (1980-2010). Journal of Economics and Sustainable Developmen, 4, 1-4.
  • Johansen , S., & Juselius, K. (1990). Maximum Likelihood Estimation And İnference On Cointegration — With Applications To The Demand For Money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
  • McKibbin, W., & Fernando, R. (2020). The Global Macroeconomic Impacts of COVID-19:Seven Scenarios. The Centre for Applied Macroeconomic Analysis (CAMA), 1-43. doi:10.2139/ssrn.3547729
  • Ozili, Peterson K and Arun, Thankom,(2020). Spillover of COVID-19: Impact on the Global Economy, Available at SSRN: https://ssrn.com/abstract=3562570 or http://dx.doi.org/10.2139/ssrn.3562570
  • Pahwa, N. (2018). Impact of Debt on Short Run and Long Run Growth: Empirical Evidence from India. Current Issues in Economics and Finance, 3-18. doi:10.1007/978-981-10-5810-3_1
  • Ramelli, Stefano and Wagner, Alexander F., (2020). Feverish Stock Price Reactions to COVID-19. Swiss Finance Institute Research Paper No. 20-12. Available at SSRN: https://ssrn.com/abstract=3550274 or http://dx.doi.org/10.2139/ssrn.3550274
  • Zeren, F., & Atike , H. E. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence from Selected Countries. Muhase ve Finans İncelemeleri Dergisi, 3(1), 78-84. doi:10.32951/mufider.706159
  • Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 101528. doi:10.1016/j.frl.2020.101528
  • China Data Lab, (2020), "World COVID-19 Daily Cases with Basemap", https://doi.org/10.7910/DVN/L20LOT, Harvard Dataverse, V18, UNF:6:N6nMzAAg+cImLPTNzI+/zQ== [fileUNF]

LONG RUN AND SHORT RUN IMPACTS OF COVID-19 ON FINANCIAL MARKETS

Year 2020, Volume: 9 Issue: 2, 155 - 170, 30.06.2020

Gercek Ozparlak

https://doi.org/10.17261/Pressacademia.2020.1221

Abstract

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.

Keywords

Covid-19 Corona pandemic stock markets CDS Johansen Cointegretion

References

  • Acar, Y. (2020). Yeni Koronavirüs (Covid-19) Salgını ve Turizm Faaliyetlerine Etkisi. Güncel Turizm Araştırmaları Dergisi, 4(1), 7-21. doi:10.32572/guntad.703410
  • Ayittey, F. K., Ayittey, M. K., Chiwero, N. B., Kamasah, J. S., & Dzuvor, C. (2020). Economic impacts of Wuhan 2019‐nCoV on China and World. J Med Virol, 92(473-475). doi:10.1002/jmv.25706
  • Beutels, P., Jia, N., Zhou, Q.-Y., Smith, R., Cao, W.-C., & Vlas, S. (2009). The economic impact of SARS in Beijing, China. Tropical Medicine and International Health, 14(1), 85-91. doi:10.1111/j.1365-3156.2008.02210.x
  • Corbet, Shaen and Larkin, Charles James and Lucey, Brian M.,(2020) The Contagion Effects of the COVID-19 Pandemic: Evidence from Gold and Cryptocurrencies, Available at SSRN: https://ssrn.com/abstract=3564443 or http://dx.doi.org/10.2139/ssrn.3564443
  • Dey, S., Saha, S., & Akter, R. (2019). Short Run and Long Run Association between Real Exchange Rate and Trade Balance: Empirical Evidence from Bangladesh (Johansen Approach and Vector Error Correction Model). Global Journal of Human-Social Science : E Economics, 19(3).
  • Fernandes, Nuno, (2020). Economic Effects of Coronavirus Outbreak (COVID-19) on the World Economy. Available at SSRN: https://ssrn.com/abstract=3557504 or doi:10.2139/ssrn.3557504
  • Gbaiye, O. G., Ogundipe, A., Osabuohien, E., Olugbire, O. O., Adeniran, O. A., Bolaji-Olutunji1, K. A., . . . Oluwatomi , A. (2013). Agricultural Exports and Economic Growth in Nigeria (1980-2010). Journal of Economics and Sustainable Developmen, 4, 1-4.
  • Johansen , S., & Juselius, K. (1990). Maximum Likelihood Estimation And İnference On Cointegration — With Applications To The Demand For Money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  • Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254.
  • McKibbin, W., & Fernando, R. (2020). The Global Macroeconomic Impacts of COVID-19:Seven Scenarios. The Centre for Applied Macroeconomic Analysis (CAMA), 1-43. doi:10.2139/ssrn.3547729
  • Ozili, Peterson K and Arun, Thankom,(2020). Spillover of COVID-19: Impact on the Global Economy, Available at SSRN: https://ssrn.com/abstract=3562570 or http://dx.doi.org/10.2139/ssrn.3562570
  • Pahwa, N. (2018). Impact of Debt on Short Run and Long Run Growth: Empirical Evidence from India. Current Issues in Economics and Finance, 3-18. doi:10.1007/978-981-10-5810-3_1
  • Ramelli, Stefano and Wagner, Alexander F., (2020). Feverish Stock Price Reactions to COVID-19. Swiss Finance Institute Research Paper No. 20-12. Available at SSRN: https://ssrn.com/abstract=3550274 or http://dx.doi.org/10.2139/ssrn.3550274
  • Zeren, F., & Atike , H. E. (2020). The Impact of Covid-19 Coronavirus on Stock Markets: Evidence from Selected Countries. Muhase ve Finans İncelemeleri Dergisi, 3(1), 78-84. doi:10.32951/mufider.706159
  • Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 101528. doi:10.1016/j.frl.2020.101528
  • China Data Lab, (2020), "World COVID-19 Daily Cases with Basemap", https://doi.org/10.7910/DVN/L20LOT, Harvard Dataverse, V18, UNF:6:N6nMzAAg+cImLPTNzI+/zQ== [fileUNF]
There are 16 citations in total.

Details

Primary Language English
Subjects Finance, Business Administration
Journal Section Articles
Authors

Gercek Ozparlak This is me 0000-0002-8503-3199

Publication Date June 30, 2020
Published in Issue Year 2020 Volume: 9 Issue: 2

Cite

APA Ozparlak, G. (2020). LONG RUN AND SHORT RUN IMPACTS OF COVID-19 ON FINANCIAL MARKETS. Journal of Business Economics and Finance, 9(2), 155-170. https://doi.org/10.17261/Pressacademia.2020.1221

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