UPSI Digital Repository (UDRep)
Start | FAQ | About

QR Code Link :

Type :article
Subject :HB Economic Theory
ISSN :2084-0845
Main Author :Abu, Nurudeen
Additional Authors :Gamal, Awadh Ahmed Mohammed
Title :How have covid-19 confirmed cases and deaths affected stock markets? evidence from Nigeria
Place of Production :Tanjung Malim
Publisher :Fakulti Pengurusan dan Ekonomi
Year of Publication :2021
Notes :Contemporary Economics
Corporate Name :Universiti Pendidikan Sultan Idris
Web Link :Click to view web link
PDF Full Text :Login required to access this item.

Abstract : Universiti Pendidikan Sultan Idris
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. ? 2021, University of Economics and Human Sciences in Warsaw. All rights reserved.

References

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. doi:10.1080/096031097333826

Abu, N., & Staniewski, M. W. (2019). Determinants of corruption in nigeria: Evidence from various estimation techniques. Economic Research-Ekonomska Istrazivanja, 32(1), 3052-3076. doi:10.1080/1331677X.2019.1655467

Alagidede, P., Panagiotidis, T., & Zhang, X. (2011). Causal relationship between stock prices and exchange rates. Journal of International Trade and Economic Development, 20(1), 67-86. doi:10.1080/09638199.2011.538186

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. Retrieved from www.scopus.com

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. doi:10.13106/jafeb.2020.vol7.no7.131

Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27 doi:10.1016/j.jbef.2020.100326

Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time. Aggregate and Firm-Level Stock Returns during Pandemics, in Real Time, Retrieved from www.scopus.com

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. doi:10.1016/j.rdf.2014.05.003

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, 48(4), 836-851. doi:10.1108/JES-06-2020-0312

Apergis, N., & Apergis, E. (2022). The role of covid-19 for chinese stock returns: Evidence from a GARCHX model. Asia-Pacific Journal of Accounting and Economics, 29(5), 1175-1183. doi:10.1080/16081625.2020.1816185

Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54 doi:10.1016/j.ribaf.2020.101249

Bahmani-Oskooee, M., & Sohrabian, A. (1992). Stock prices and the effective exchange rate of the dollar. Applied Economics, 24(4), 459-464. doi:10.1080/00036849200000020

Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J. (2020). The unprecedented stock market reaction to COVID-19. Covid-Induced Economic Uncertainty, (3) Retrieved from www.scopus.com

Baker, S. R., Bloom, N., Davis, S. J., & Terry, S. J. (2020). The unprecedented stock market reaction to COVID-19. Covid-Induced Economic Uncertainty, (3) Retrieved from www.scopus.com

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. Retrieved from www.scopus.com

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 Substi-Tution Effects and “dirty Altruism”, Retrieved from www.scopus.com

Brahmbhatt, M., & Dutta, A. (2008). On SARS type economic effects during infectious disease outbreaks. policy research working paper 4466. the world bank. On SARS Type Economic Effects during Infectious Disease Outbreaks, Retrieved from www.scopus.com

Cao, K. H., Li, Q., Liu, Y., & Woo, C. -. (2021). Covid-19’s adverse effects on a stock market index. Applied Economics Letters, 28(14), 1157-1161. doi:10.1080/13504851.2020.1803481

Cepoi, C. -. (2020). Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil. Finance Research Letters, 36 doi:10.1016/j.frl.2020.101658

Chia, R. C. -., Liew, V. K. -., & Rowland, R. (2020). Daily new COVID-19 cases, the movement control order, and malaysian stock market. International Journal of Business and Society, 21(2), 553-568. Retrieved from www.scopus.com

Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35 doi:10.1016/j.frl.2020.101554

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(1), 1-12. doi:10.1186/2191-1991-2-18

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(366), 427-431. doi:10.1080/01621459.1979.10482531

Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. American Economic Review, 70(5), 960-971. Retrieved from www.scopus.com

Engle, R. F., & Granger, C. W. J. (1987). Cointegration and error correction: Representation, estimation and testing. Econometrica, 55(2), 251-276. Retrieved from www.scopus.com

Erdem, O. (2020). Freedom and stock market performance during covid-19 outbreak. Finance Research Letters, 36 doi:10.1016/j.frl.2020.101671

Gössling, S., Scott, D., & Hall, C. M. (2020). Pandemics, tourism and global change: A rapid assessment of COVID-19. Journal of Sustainable Tourism, , 1-20. doi:10.1080/09669582.2020.1758708

Greene, W. H. (1993). Econometric Analysis, Retrieved from www.scopus.com

Hansen, B. E., & Phillips, P. C. B. (1990). Estimation and inference in models of cointegration: A simulation study. Advances in Econometrics, 8(1989), 225-248. Retrieved from www.scopus.com

Hanspal, T., Weber, A., & Wohlfart, J. (2020). Income and wealth shocks and expectations during the COVID-19 pandemic. CEBI Working Paper Series, Retrieved from www.scopus.com

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. doi:10.1080/1540496X.2020.1785865

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. doi:10.1080/20954816.2020.1780695

ILO. (2020). COVID-19 and the world of work: Impact and policy responses. ILO monitor. COVID-19 and the World of Work: Impact and Policy Responses, Retrieved from www.scopus.com

Iskenderoglu, Ö., & 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. doi:10.2478/jeb-2020-0009

Johansen, S. (1991). Estimation and hypothesis testing of cointegration vectors in gaussian vector autoregressive models. Econometrica, 59(6), 1551-1580. Retrieved from www.scopus.com

Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12(2-3), 231-254. doi:10.1016/0165-1889(88)90041-3

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. doi:10.1111/j.1468-0084.1990.mp52002003.x

Jordà, Ò., Singh, S. R., & Taylor, A. M. (2020). Longer-run economic consequences of pandemics. Longer-Run Economic Consequences of Pandemics, Retrieved from www.scopus.com

Liu, H., Manzoor, A., Wang, C., Zhang, L., & Manzoor, Z. (2020). The COVID-19 outbreak and affected countries stock markets response. International Journal of Environmental Research and Public Health, 17(8) doi:10.3390/ijerph17082800

Liu, H., Wang, Y., He, D., & Wang, C. (2020). Short term response of chinese stock markets to the outbreak of COVID-19. Applied Economics, 52(53), 5859-5872. doi:10.1080/00036846.2020.1776837

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, Retrieved from www.scopus.com

Mandel, A., & Veetil, V. (2020). The economic cost of COVID lockdowns: An out-of-equilibrium analysis. Economics of Disasters and Climate Change, 4(3), 431-451. Retrieved from www.scopus.com

Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. evidence from S&P1500. Finance Research Letters, 38 doi:10.1016/j.frl.2020.101690

McKibbin, W., & Fernando, R. (2021). The global macroeconomic impacts of covid-19: Seven scenarios. Asian Economic Papers, 20(2), 2-30. doi:10.1162/asep_a_00796

Megaravalli, A. V., & Sampagnaro, G. (2018). Macroeconomic indicators and their impact on stock markets in ASIAN 3: A pooled mean group approach. Cogent Economics and Finance, 6(1) doi:10.1080/23322039.2018.1432450

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. doi:10.1080/1540496X.2020.1785425

Mohan, R. (2006). Avian influenza pandemic: Pre-paredness within the financial sector. Reserve Bank of India Bulletin, , 963-969. Retrieved from www.scopus.com

Montalvo, J. G. (1995). Comparing cointegrating regression estimators: Some additional monte carlo results. Economics Letters, 48(3-4), 229-234. doi:10.1016/0165-1765(94)00632-C

Morgan, J. P. (0000). Fallout from COVID-19: Global Recession, Zero Interest Rates and Emergency Policy Actions, Retrieved from www.scopus.com

Naidenova, I., Parshakov, P., & Shakina, E. (2020). Idiosyncratic and Systematic Shocks of COVID-19 Pandemic on Financial Markets, Retrieved from www.scopus.com

Narayan, P. K., & Narayan, S. (2010). Modelling the impact of oil prices on vietnam's stock prices. Applied Energy, 87(1), 356-361. doi:10.1016/j.apenergy.2009.05.037

Narayan, P. K., Phan, D. H. B., & Liu, G. (2021). COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. Finance Research Letters, 38 doi:10.1016/j.frl.2020.101732

Narayan, S., & Narayan, P. K. (2004). Determinants of demand for fiji's exports: An empirical investigation. Developing Economies, 42(1), 95-112. doi:10.1111/j.1746-1049.2004.tb01017.x

Nurudeen, A. (2009). Does stock market development raise economic growth? evidence from nigeria. The Review of Finance and Banking, 1(1), 15-26. Retrieved from www.scopus.com

Nurudeen, A., & 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. doi:10.5709/ce.1897-9254.405

Ozili, P. K., & Arun, T. (2020). Spillover of COVID-19: Impact on the global economy. SSRN Electronic Journal, Retrieved from www.scopus.com

Park, J. Y. (1992). Canonical cointegrating regressions. Econometrica, 60(1), 119-143. Retrieved from www.scopus.com

Pesaran, M. H., & Shin, Y. (1999). An autoregressive distributed lag modelling approach to cointegration analysis. Econometrics and Economic Theory in the 20th Century: The Ragnar Frisch Centennial Symposium, , 371-413. Retrieved from www.scopus.com

Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-326. doi:10.1002/jae.616

Phillips, P. C. B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. doi:10.1093/biomet/75.2.335

Pw, C. (2020). COVID-19: Economic implication and policy responses. Retrieved from www.scopus.com

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. doi:10.1080/09603107.2014.907476

Saikkonen, P. (1992). Estimation and testing of cointegrated systems by an autoregressive approximation. Econometric Theory, 8(1), 1-27. doi:10.1017/S0266466600010720

Salisu, A. A., Ebuh, G. U., & Usman, N. (2020). Revisiting oil-stock nexus during COVID-19 pandemic: Some preliminary results. International Review of Economics and Finance, 69, 280-294. doi:10.1016/j.iref.2020.06.023

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. doi:10.1016/j.econmod.2017.07.010

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 doi:10.1016/j.irfa.2020.101546

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 (EJRSE), 7(4), 1-16. Retrieved from www.scopus.com

Singh, T. (2015). Trade openness and economic growth in canada: An evidence from time-series tests. Global Economy Journal, 15(3), 361-407. doi:10.1515/gej-2014-0009

Stock, J. H., & Watson, M. W. (1993). A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61(4), 783-820. Retrieved from www.scopus.com

Tang, C. F., & Lean, H. H. (2007). Is the phillips curve stable for malaysia? new empirical evidence. Malaysian Journal of Economic Studies, 44(2), 95-105. Retrieved from www.scopus.com

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. doi:10.1080/13547860.2010.516171

Topcu, M., & Gulal, O. S. (2020). The impact of COVID-19 on emerging stock markets. Finance Research Letters, 36 doi:10.1016/j.frl.2020.101691

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. doi:10.2478/jeb-2020-0007

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, 25(14), 1277-1288. doi:10.1080/1351847X.2019.1589550

Zeren, F., & Hizarci, A. (2020). The impact of COVID-19 coronavirus on stock markets: Evidence from selected countries. Muhasebe Ve Finans Incelemeleri Dergisi, 3(1), 78-84. Retrieved from www.scopus.com

Zhang, D., Hu, M., & Ji, Q. (2020). Financial markets under the global pandemic of COVID-19. Finance Research Letters, 36 doi:10.1016/j.frl.2020.101528


This material may be protected under Copyright Act which governs the making of photocopies or reproductions of copyrighted materials.
You may use the digitized material for private study, scholarship, or research.

Back to previous page

Installed and configured by Bahagian Automasi, Perpustakaan Tuanku Bainun, Universiti Pendidikan Sultan Idris
If you have enquiries with this repository, kindly contact us at pustakasys@upsi.edu.my or Whatsapp +60163630263 (Office hours only)