BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

BazEkon home page

Meny główne

Autor
Abu Nurudeen (Umaru Musa Yar'adua University, Katsina, Nigeria), Gamal Awadh Ahmed Mohammed (Universiti Pendidikan Sultan Idris, Malaysia), Sakanko Musa Abdullahi (University of Jos, Nigeria), Mateen Ana (AKI's Poona College of Arts, Science and Commerce, Pune, India), Joseph David (Ibrahim Badamasi Babangida University, Lapai, Nigeria), Amaechi Ben-Obi Onyewuchi (Central Bank of Nigeria)
Tytuł
How Have COVID-19 Confirmed Cases and Deaths Affected Stock Markets? Evidence from Nigeria
Źródło
Contemporary Economics, 2021, vol. 15, nr 1, s. 76-99, rys., tab., bibliogr. 80 poz.
Słowa kluczowe
COVID-19, Zachorowalność, Umieralność, Rynki giełdowe
COVID-19, Incidence, Mortality, Stock markets
Uwagi
Klasyfikacja JEL: D53, E44, G14, I15
summ.
Kraj/Region
Nigeria
Nigeria
Abstrakt
This study assesses the effect of COVID-19 proxied by the number of confirmed cases of the infection and deaths on Nigeria's stock market over the 23rd March to 11th September 2020 period using the autoregressive distributed lag (ARDL), canonical cointegrating regression (CCR), dynamic ordinary least squares (DOLS) and fully modified ordinary least squares (FMOLS) techniques. The bounds test to cointegration result reveals that a long-run relationship exists between COVID-19 and Nigeria's stock market (along with oil prices and exchange rate). The results of the various estimations demonstrate that COVID-19 (proxied by the number of confirmed cases of infection) has a negative and significant impact on stock market performance, while the number deaths has a positive and significant impact on the market in the long-run. In addition, oil prices and exchange rate have a significant and positive effect on stock market performance in the long-run. Similar results were found for sub-sectors including consumer goods and healthcare sub-sectors of the stock market. The study recommends policies to curb the spread of the virus. (original abstract)
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Abdalla, I. S. A., & Murinde, V. (1997). Exchange rate and stock price interactions in emerging financial markets: evidence on India, Korea, Pakistan and the Philippines. Applied Financial Economics, 7(1), 25-35. https://doi.org/10.1080/096031097333826
  2. Abu, N., & Gamal, A. A. M. (2020). An empirical investigation of the twin deficits hypothesis in Nigeria: Evidence from cointegration techniques. Contemporary Economics, 14(3), 285-305. https://doi.org/10.5709/ce.1897-9254.405
  3. Abu, N., & Staniewski, M. W. (2019). Determinants of corruption in Nigeria: Evidence from various estimation techniques. Economic Research-Ekonomska Istraživanja, 32(1), 3052-3076. https://doi.org/10.1080/1331677X.2019.1655467
  4. AlAli, M. S. (2020). Safe haven assets: Are they still safe during COVID-19 pandemic period? European Journal of Economic and Financial Research, 4(1), 91-98. https://doi.org/10.46827/ejefr.v0i0.795
  5. Alam, M. N., Alam, M. S., & Chavali, K. (2020). Stock market response during COVID-19 lockdown period in India: An event study. Journal of Asian Finance, Economics and Business, 7(7), 131-137. https://doi.org/10.13106/jafeb.2020.vol7.no7.131
  6. Alagidede, P., Panagiotidis, P., & Zhang, X. (2011). Causal relationship between stock prices and exchange rates. Journal of International Trade & Economic Development, 20(1), 67-86. https://doi.org/10.1080/09638199.2011.538186
  7. Al-Awadhi, A. M., Al-Saifi, K., Al-Awadhi, A., & Alhamadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 100326. https://doi.org/10.1016/j.jbef.2020.100326
  8. Alfaro, L., Chari, A., Greenland, A., Schott, & P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time (Working Paper No. 26950). National Bureau of Economic Research. https://doi.org/10.3386/w26950
  9. Alhassan, A. L., & Fiador, V. (2014). Insurance-growth nexus in Ghana: An autoregressive distributed lag bounds cointegration approach. Review of Development Finance, 4(2), 83-96. https://doi.org/10.1016/j.rdf.2014.05.003
  10. Anh, D. L. T., & Gan, C. (2020). The impact of the COVID-19 lockdown on stock market performance: Evidence from Vietnam. Journal of Economic Studies. https://doi.org/10.1108/JES-06-2020-0312
  11. Apergis, N., & Apergis, E. (2020). The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model. Asia-Pacific Journal of Accounting & Economics, 1-9. https://doi.org/10.1080/16081625.2020.1816185
  12. Ashraf, B. N. (2020). Stock markets' reaction to COVID-19: cases or fatalities? Research in International Business and Finance, 54, 101249. https://doi.org/10.1016/j.ribaf.2020.101249
  13. Bahmani-Oskooee, M., & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24(4), 459-464. https://doi.org/10.1080/00036849200000020
  14. Baker, S. R., Bloom, N., Davis, S. J., Kost, K. J., Sammon, M. C., & Viratyosin, T. (2020a). The unprecedented stock market impact of COVID-19 (Working PaperNo. 26945). National Bureau of Economic Research. https://doi.org/10.3386/w26945
  15. Baker, S., Bloom, N., Davis, S., & Terry, S. J. (2020b). Covid-induced economic uncertainty (Working Paper No. 26983). National Bureau of Economic Research. https://doi.org/10.3386/w26983
  16. Bash, A. (2020). International evidence of COVID-19 and stock market returns: An event study analysis. International Journal of Economics and Financial Issues, 10(4), 34-38. https://doi.org/10.32479/ijefi.9941
  17. Beard, T. R., Jackson, J. D., Kaserman, D., & Kim, H. (2010). A time-series analysis of U.S. kidney transplantation and the waiting list: Donor substitution effects and "dirty altruism" (MPRA Paper No. 17620). https://mpra.ub.uni-muenchen.de/id/eprint/17620
  18. Brahmbhatt, M., & Dutta, A. (2008). On SARS type economic effects during infectious disease outbreaks (World Bank Policy Research Working Paper No. 4466). The World Bank. https://doi.org/10.1596/1813-9450-4466
  19. Cao, K. H., Li, Q., Liu, Y., & Woo, C. K. (2020). Covid-19's adverse effects on a stock market index. Applied Economics Letters, 1-5. https://doi.org/10.1080/13504851.2020.1803481
  20. Cepoi, C. O. (2020). Asymmetric dependence between stock market returns and news during COVID19 financial turmoil. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101658
  21. Chia, R. C. J., Liew, V. K. S., & Rowland, R. (2020). Daily new Covid-19 cases, the movement control order, and Malaysian stock market returns. International Journal of Business and Society, 21(2),553-568.
  22. Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35. https://doi.org/10.1016/j.frl.2020.101554
  23. Costa, N., Derumeaux, H., Rapp, T., Garnault, V., Ferlicoq, L., Gillette, S., ... & Molinier, L. (2012). Methodological considerations in cost of illness studies on Alzheimer disease. Health Economics Review, 2(18), 1-12. https://doi.org/10.1186/2191-1991-2-18
  24. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. https://doi.org/10.1080/01621459.1979.10482531
  25. Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960-971.
  26. Engle, R. F., & Granger, C. W. J. (1987). Co-integration and error correction: Representation, estimation and testing. Econometrica, 55(2), 251-276.
  27. Erdem, O. (2020). Freedom and stock market performance during Covid-19 outbreak. Finance Research Letters. https://doi.org/10.1016/j.frl.2020.101671
  28. Gössling, S., Scott, D., & Hall, C. M. (2020). Pandemics, tourism and global change: a rapid assessment of COVID-19. Journal of Sustainable Tourism. https://doi.org/full/10.1080/09669582.2020.1758708
  29. Greene, W. (2003). Econometric analysis. 5th ed. Prentice Hall.
  30. Hansen, B. E., & Phillips, P. C. (1990). Estimation and inference in models of cointegration: A simulation study. Advances in Econometrics, 8, 225-248.
  31. Hanspal, T., Weber, A., & Wohlfart, J. (2020). Income and wealth shocks and expectations during the COVID-19 pandemic (CESifo Working Paper No.8244). CESifo.
  32. He, P., Sun, Y., Zhang, Y., & Li, T. (2020). COVID-19's Impact on stock prices across different sectors-An event study based on the Chinese stock market. Emerging Markets Finance and Trade, 56(10), 2198-2212. https://doi.org/10.1080/1540496X.2020.1785865
  33. Huo, X., & Qiu, Z. (2020). How does China's stock market react to the announcement of the COVID-19 pandemic lockdown?. Economic and Political Studies, 8(4), 436-461. https://doi.org/10.1080/20954816.2020.1780695
  34. International Labour Organization (2020). Covid-19 and the world of work: Impact and policy responses. International Labour Organization. https://www.ilo.org/wcmsp5/groups/public/---dgreports/---dcomm/documents/briefingnote/wcms_738753.pdf
  35. İskenderoglu, O., & Akdag, S. (2020). Comparison of the effect of VIX fear index on stock exchange indices of developed and developing countries: The G20 case. South East European Journal of Economics and Business, 15(1), 105-121. https://doi.org/10.2478/jeb-2020-0009
  36. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(23), 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  37. Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580. https://doi.org/10.2307/2938278
  38. Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration-With applications to the demand for money. Oxford Bulletin of Economics and Statistics, 52(2), 169-210.
  39. Jordà, Ò., Singh, S. R., & Taylor, A. M. (2020). Longerrun economic consequences of pandemics (Working paper No. 26934). National Bureau of Economic Research.
  40. J. P. Morgan (2020, March 27). Fallout from COVID-19: Global recession, zero interest rates and emergency policy actions. https://www.jpmorgan.com/global/research/fallout-from-covid19
  41. Liu, H., Wang, Y., He, D., & Wang, C. (2020a). Short term response of Chinese stock markets to the outbreak of COVID-19. Applied Economics, 1-14, 5859-5872. https://doi.org/10.1080/00036846.2020.1776837
  42. Liu, H-Y., Manzoor, A., Wang, C-Y., Zhang, L., & Manzoor, Z. (2020b). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(2800), 1-19. https://doi.org/10.3390/ijerph17082800
  43. Maliszewska, M., Mattoo, A., & van der Mensbrugghe, D. (2020). The potential impact of COVID-19 on GDP and trade: A preliminary assessment (World Bank Policy Research Working Paper No. 9211). SSRN Electronic Journal.https://ssrn.com/abstract=3573211
  44. Mandel, A., & Veetil, V. (2020). The economic cost of COVID lockdowns: An out-of-equilibrium analysis. Economics of Disasters and Climate Change. https://doi.org/10.1007/s41885-020-00066-z
  45. Mazur, M., Dang, M., & Vega, M. (2020). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 101690. https://doi.org/10.1016/j.frl.2020.101690
  46. McKibbin, W., & Fernando, R. (2020). The global macroeconomic impacts of COVID-19: Seven scenarios. Asian Economic Papers, 1-55. https://doi.org/10.1162/asep_a_00796
  47. Megaravalli, A. V., & Sampagnaro, G. (2018) Macroeconomic indicators and their impact on stock markets in ASEAN 3: A pooled mean group approach. Cogent Economics & Finance, 6(1), 1-14. https://doi.org/10.1080/23322039.2018.1432450
  48. Mishra, A. K., Rath, B. N., & Dash, A. K. (2020). Does the Indian financial market nosedive because of the COVID-19 outbreak, in comparison to after demonetisation and the GST? Emerging Markets Finance and Trade, 56(10), 2162-2180. https://doi.org/10.1080/1540496X.2020.1785425
  49. Mohan, R. (2006). Avian influenza pandemic: Preparedness within the financial sector. Reserve Bank of India Bulletin, 963-969.
  50. Montalvo, J. G. (1995). Comparing cointegrating regression estimators: Some additional Monte Carlo results. Economics Letters, 48, 229-234. https://doi.org/10.1016/0165-1765(94)00632-C
  51. Naidenova, I., Parshakov, P., & Shakina, E. (2020). Idiosyncratic and systematic shocks of COVID-19 pandemic on financial markets. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3574774.
  52. Narayan, P. K., & Narayan, S. (2010). Modeling the impact oil prices on Vietnam's stock prices. Applied Energy, 87(1), 356-361. https://doi.org/10.1016/j.apenergy.2009.05.037
  53. Narayan, S., & Narayan, P. K. (2004). Determinants of demand for Fiji's exports: an empirical investigation. Developing Economies, 42(1), 95-112. https://doi.org/10.1111/j.1746-1049.2004.tb01017.x
  54. Narayan, P. K., Phan, D. H. B., & Liu, G. (2020). COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. Finance Research Letters, 101732. https://doi.org/10.1016/j.frl.2020.101732
  55. Nigeria Centre for Disease Control (2020). An update of COVID-19 outbreak in Nigeria. Nigeria Centre for Disease Control. https://ncdc.gov.ng/diseases/sitreps/?cat=14&name=An%20update%20of%20COVID-19%20outbreak%20in%20Nigeria.
  56. The Nigerian Stock Exchange (2020). Weekly market reports. http://www.nse.com.ng/market-data/other-market-information/weekly-report.
  57. Nurudeen, A. (2009). Does stock market development raise economic growth? Evidence from Nigeria. Review of Finance and Banking, 1(1), 015-026.
  58. Organization for Economic Cooperation and Development (2020). SME policy responses..https://read.oecdilibrary.org/view/?ref=119_119680-di6h3qgi4x&title=Covid-19_SME_Policy_Responses. Accessed 6 April 2020
  59. Ozili, P., & Arun, T. (2020). Spillover of COVID-19: Impact on the global economy. MPRA Paper, 99850. https://doi.org/10.2139/ssrn.3562570
  60. Park, J. Y. (1992). Canonical cointegrating regressions. Econometrica, 60(1), 119-143. https://doi.org/10.2307/2951679
  61. Pesaran, M. H., & Shin, Y. (1999). An autoregressive distributed lag modeling approach to cointegration analysis. In S. Strom (Ed.), Econometrics and economic theory in the 20th century (pp. 371-413). The Ragnar Frisch centennial symposium econometric society monographs (31). Cambridge University Press.
  62. Pesaran, M. H., Shin, Y., & Smith, R. (2001). Bound testing approaches to the analysis of level relationship. Journal of Applied Econometrics, 16(3), 289-326. https://doi.org/10.1002/jae.616
  63. Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  64. PwC (2020). COVID-19: Economic implication and policy responses. PwC Nigeria's Webinar. https://www.pwc.com/ng/en/assets/pdf/Covid-19-economic-implictions-webinar-presentation.pdf
  65. Rafailidis, P., & Katrakilidis, C. (2014). The relationship between oil prices and stock prices: A nonlinear asymmetric cointegration approach. Applied Financial Economics, 24(12), 793-800. https://doi.org/10.1080/09603107.2014.907476
  66. Saikkonen, P. (1992). Estimation and testing of cointegrated systems by an autoregressive approximation. Econometric Theory, 8(1), 1-27.
  67. Salisu, A. A., Ebuh, G. U., & Usman, N. (2020). Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results. International Review of Economics & Finance, 69, 280-294. https://doi.org/10.1016/j.iref.2020.06.023
  68. Salisu, A. A., & Isah, K. O. (2017). Revisiting the oil price and stock market nexus: A nonlinear panel ardl approach. Economic Modelling, 66, 258-271. https://doi.org/10.1016/j.econmod.2017.07.010
  69. Salisu, A. A., & Vo, X. V. (2020). Predicting stock returns in the presence of COVID-19 pandemic: The role of health news. International Review of Financial Analysis, 71, 101546. https://doi.org/10.1016/j.irfa.2020.101546
  70. Şenol, Z., & Zeren, F. (2020). Coronavirus (COVID-19) and stock markets: The effects of the pandemic on the global economy. Eurasian Journal of Researches in Social and Economics, 7(4), 1-16.
  71. Singh, T. (2015). Trade openness and economic growth in Canada: An evidence from time-series tests. Global Economy Journal, 15(3), 361-407. https://doi.org/10.1515/gej-2014-0009
  72. Stock, J. H., & Watson, M. W. (1993). A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61(4), 783-820. https://doi.org/10.2307/2951763
  73. Tang, C. F., & Lean, H. H. (2007). Is Phillips curve stable in Malaysia? New empirical evidence. Malaysian Journal of Economic Studies, 44(2), 95-105.
  74. Tian, G. G., & Ma, S. (2010). The relationship between stock returns and the foreign exchange rate: the ARDL approach. Journal of the Asia Pacific Economy, 15(4), 490-508.https://doi.org/10.1080/13547860.2010.516171
  75. Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 101691. https://doi.org/10.1016/j.frl.2020.101691
  76. United Nations Conference on Trade and Development (2020). The Covid-19 shock to developing countries: Towards a "whatever it takes" programme for the two-thirds of the world's population being left behind. https://unctad.org/en/PublicationsLibrary/gds_tdr2019_covid2_en.pdf. Accessed 10 May 2020
  77. Williams, C. C., & Kayaoglu, A. (2020). The coronavirus pandemic and Europe's undeclared economy: Impacts and a policy proposal. South East European Journal of Economics and Business, 15(1), 80-92. https://doi.org/10.2478/jeb-2020-0007
  78. Zarei, A., Ariff, M., & Bhatti, M. I. (2019). The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies. European Journal of Finance, 1-12. https://doi.org/10.1080/1351847X.2019.1589550
  79. Zeren, F., & Hizarci, A. E. (2020). The impact of COVID-19 coronavirus on stock markets: Evidence from selected countries. Bulletin of Accounting and Finance Reviews, 3(1), 78-84. https://doi.org/10.32951/mufider.706159
  80. Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 101528.
Cytowane przez
Pokaż
ISSN
2084-0845
Język
eng
URI / DOI
http://dx.doi.org/10.5709/ce.1897-9254.437
Udostępnij na Facebooku Udostępnij na Twitterze Udostępnij na Google+ Udostępnij na Pinterest Udostępnij na LinkedIn Wyślij znajomemu