The University of Southampton
University of Southampton Institutional Repository

The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets

The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets
The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets
What determines a country’s financial immunity to a global pandemic? To answer this question, we investigate the behavior of 67 equity markets around the world during the COVID-19 outbreak in 2020. We consider a multidimensional data set that includes factors from finance, economics, demographics, technological development, healthcare, governance, culture, and law. Our study also accounts for government interventions, such as containment and closure policies, and economic stimuli. We apply machine learning techniques, panel regression, and factor analysis to ascertain sources of financial immunity to the coronavirus pandemic. Our findings demonstrate that stock markets in countries with low unemployment rates and populated with firms with conservative investment policies and low valuations relative to expected profits tend to be more immune to the healthcare crisis. We also find that firm government policy responses tend to support stock markets in times of the pandemic.
COVID-19, Economy, Financial immunity, Fundamentals, Government interventions, Policy responses, Healthcare, International stock markets, Institutions, National culture, Governance, Novel coronavirus
1042-4431
101284
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Tzouvanas, Panagiotis
f8c0fae8-aebe-406b-9df5-e40fd4c81fbb
Aharon, David Y.
3108729a-17ec-4bd6-b8fe-2559e45770d5
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Tzouvanas, Panagiotis
f8c0fae8-aebe-406b-9df5-e40fd4c81fbb
Aharon, David Y.
3108729a-17ec-4bd6-b8fe-2559e45770d5
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2

Zaremba, Adam, Kizys, Renatas, Tzouvanas, Panagiotis, Aharon, David Y. and Demir, Ender (2021) The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets. Journal of International Financial Markets, Institutions and Money, 71, 101284, [101284]. (doi:10.1016/j.intfin.2021.101284).

Record type: Article

Abstract

What determines a country’s financial immunity to a global pandemic? To answer this question, we investigate the behavior of 67 equity markets around the world during the COVID-19 outbreak in 2020. We consider a multidimensional data set that includes factors from finance, economics, demographics, technological development, healthcare, governance, culture, and law. Our study also accounts for government interventions, such as containment and closure policies, and economic stimuli. We apply machine learning techniques, panel regression, and factor analysis to ascertain sources of financial immunity to the coronavirus pandemic. Our findings demonstrate that stock markets in countries with low unemployment rates and populated with firms with conservative investment policies and low valuations relative to expected profits tend to be more immune to the healthcare crisis. We also find that firm government policy responses tend to support stock markets in times of the pandemic.

Text
Financial_Immunity_to_the_COVID19_Pandemic_Evidence_from_International_Stock_Markets_9_ - Accepted Manuscript
Restricted to Repository staff only until 13 January 2023.
Request a copy

More information

Accepted/In Press date: 5 January 2021
e-pub ahead of print date: 13 January 2021
Published date: March 2021
Additional Information: Funding Information: Adam Zaremba acknowledges the support of the National Science Centre of Poland [Grant No. 2016/23/B/HS4/00731 ]. Publisher Copyright: © 2021 Elsevier B.V. Copyright: Copyright 2021 Elsevier B.V., All rights reserved.
Keywords: COVID-19, Economy, Financial immunity, Fundamentals, Government interventions, Policy responses, Healthcare, International stock markets, Institutions, National culture, Governance, Novel coronavirus

Identifiers

Local EPrints ID: 448440
URI: http://eprints.soton.ac.uk/id/eprint/448440
ISSN: 1042-4431
PURE UUID: 0723d430-e4da-410d-bf00-7231e695ce3c
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 22 Apr 2021 16:43
Last modified: 09 Jan 2022 04:07

Export record

Altmetrics

Contributors

Author: Adam Zaremba
Author: Renatas Kizys ORCID iD
Author: Panagiotis Tzouvanas
Author: David Y. Aharon
Author: Ender Demir

Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×