Unveiling COVID-19’s impact on Financial Stability: A Comprehensive Study of Price Dynamics and Investor Behavior in G7 Markets

International Journal of Economics and Financial Issues Pub Date : 2024-01-20 DOI:10.32479/ijefi.15643

Mariem Talbi, Monia Mokhtar Ferchichi, Fatma Ismaalia, Samia Samil

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Abstract

The paper delves into the impact of the COVID-19 pandemic on foreign stock markets across several developed nations. It seeks to empirically validate the presence of contagion by employing an adjusted correlation test spanning 7 developing stock markets from February 1, 1992, to April 31, 2021. Employing the FIEGARCH (1.1), DCC-MGARCH(1,1), and Switching-Markov analysis models, the research uncovers compelling evidence of the pandemic's influence on most developed countries during the COVID-19 period. Notably, these markets appear significantly susceptible to the adverse effects brought about by the pandemic. Recognizing the substantial ramifications of financial downturns on monetary policy, risk assessment, asset valuation, and portfolio distribution, the findings hold paramount significance for policymakers, investors, and portfolio managers. This empirical investigation offers insights that could profoundly impact decision-making strategies in these domains, shedding light on crucial aspects for informed policy adjustments, investment decisions, and portfolio allocations amidst such critical market fluctuations.

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揭示 COVID-19 对金融稳定性的影响：七国集团市场价格动态和投资者行为综合研究

本文探讨了 COVID-19 大流行病对几个发达国家的外国股票市场的影响。通过对 1992 年 2 月 1 日至 2021 年 4 月 31 日期间的 7 个发展中股票市场进行调整相关性检验，本文试图从经验上验证传染的存在。研究采用 FIEGARCH (1.1)、DCC-MGARCH(1,1) 和 Switching-Markov 分析模型，发现了在 COVID-19 期间大流行病对大多数发达国家产生影响的有力证据。值得注意的是，这些市场似乎很容易受到大流行病带来的不利影响。考虑到金融衰退对货币政策、风险评估、资产估值和投资组合分布的重大影响，研究结果对政策制定者、投资者和投资组合经理具有重要意义。这项实证调查提供了可能对这些领域的决策策略产生深远影响的见解，揭示了在这种关键的市场波动中进行明智的政策调整、投资决策和投资组合分配的重要方面。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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International Journal of Economics and Financial Issues

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期刊介绍： International Journal of Economics and Financial Issues (IJEFI) is the international academic journal, and is a double-blind, peer-reviewed academic journal publishing high quality conceptual and measure development articles in the areas of economics, finance and related disciplines. The journal has a worldwide audience. The journal''s goal is to stimulate the development of economics, finance and related disciplines theory worldwide by publishing interesting articles in a highly readable format. The journal is published Bimonthly (6 issues per year) and covers a wide variety of topics including (but not limited to): Macroeconomcis International Economics Econometrics Business Economics Growth and Development Regional Economics Tourism Economics International Trade Finance International Finance Macroeconomic Aspects of Finance General Financial Markets Financial Institutions Behavioral Finance Public Finance Asset Pricing Financial Management Options and Futures Taxation, Subsidies and Revenue Corporate Finance and Governance Money and Banking Markets and Institutions of Emerging Markets Public Economics and Public Policy Financial Economics Applied Financial Econometrics Financial Risk Analysis Risk Management Portfolio Management Financial Econometrics.