The Impact of the COVID-19 Pandemic on Stock Market Performance in G20 Countries: Evidence from Long Short-Term Memory with a Recurrent Neural Network Approach.
IF 2.6 4区 计算机科学Q2 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS
Pingkan Mayosi Fitriana, Jumadil Saputra, Zairihan Abdul Halim
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引用次数: 0
Abstract
In light of developing and industrialized nations, the G20 economies account for a whopping two-thirds of the world's population and are the largest economies globally. Public emergencies have occasionally arisen due to the rapid spread of COVID-19 globally, impacting many people's lives, especially in G20 countries. Thus, this study is written to investigate the impact of the COVID-19 pandemic on stock market performance in G20 countries. This study uses daily stock market data of G20 countries from January 1, 2019 to June 30, 2020. The stock market data were divided into G7 countries and non-G7 countries. The data were analyzed using Long Short-Term Memory with a Recurrent Neural Network (LSTM-RNN) approach. The result indicated a gap between the actual stock market index and a forecasted time series that would have happened without COVID-19. Owing to movement restrictions, this study found that stock markets in six countries, including Argentina, China, South Africa, Turkey, Saudi Arabia, and the United States, are affected negatively. Besides that, movement restrictions in the G7 countries, excluding the United States, and the non-G20 countries, excluding Argentina, China, South Africa, Turkey, and Saudi, significantly impact the stock market performance. Generally, LSTM prediction estimates relative terms, except for stock market performance in the United Kingdom, the Republic of Korea, South Africa, and Spain. The stock market performance in the United Kingdom and Spain countries has significantly reduced during and after the occurrence of COVID-19. It indicates that the COVID-19 pandemic considerably influenced the stock markets of 14 G20 countries, whereas less severely impacting 6 remaining countries. In conclusion, our empirical evidence showed that the pandemic had restricted effects on the stock market performance in G20 countries.
Big DataCOMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS-COMPUTER SCIENCE, THEORY & METHODS
CiteScore
9.10
自引率
2.20%
发文量
60
期刊介绍:
Big Data is the leading peer-reviewed journal covering the challenges and opportunities in collecting, analyzing, and disseminating vast amounts of data. The Journal addresses questions surrounding this powerful and growing field of data science and facilitates the efforts of researchers, business managers, analysts, developers, data scientists, physicists, statisticians, infrastructure developers, academics, and policymakers to improve operations, profitability, and communications within their businesses and institutions.
Spanning a broad array of disciplines focusing on novel big data technologies, policies, and innovations, the Journal brings together the community to address current challenges and enforce effective efforts to organize, store, disseminate, protect, manipulate, and, most importantly, find the most effective strategies to make this incredible amount of information work to benefit society, industry, academia, and government.
Big Data coverage includes:
Big data industry standards,
New technologies being developed specifically for big data,
Data acquisition, cleaning, distribution, and best practices,
Data protection, privacy, and policy,
Business interests from research to product,
The changing role of business intelligence,
Visualization and design principles of big data infrastructures,
Physical interfaces and robotics,
Social networking advantages for Facebook, Twitter, Amazon, Google, etc,
Opportunities around big data and how companies can harness it to their advantage.