Pandemic market dynamics: analyzing global price informativeness during COVID-19

IF 3.3 Q1 BUSINESS, FINANCE

Journal of Financial Reporting and Accounting Pub Date : 2024-06-28 DOI:10.1108/jfra-12-2023-0775

Abed Al-Nasser Abdallah, Wissam Abdallah, Youssef Bassam, Ullas Rao, Mohsen Saad

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引用次数: 0

Abstract

Purpose

This study aims to examine stock price synchronicity during the COVID-19 crisis using 32,452 firms from 61 countries. This paper explores the impact of government effectiveness on synchronicity while distinguishing between developed and emerging markets.

Design/methodology/approach

The research analysis employs ordinary OLS pooled regression analysis.

Findings

This paper presents worldwide evidence that stock price synchronicity was significantly higher during February and March 2020. This paper shows that synchronicity increased with the intensity of the crisis. In addition, the government's role reduced the COVID-19 impact on synchronicity, which was stronger in developed markets than in emerging markets.

Originality/value

The novelty of the study lies in documenting the impact of the COVID-19 pandemic on stock price synchronicity. The findings add to a deeper understanding of market behavior amid significant disruptive shocks.

查看原文本刊更多论文

大流行病市场动态：分析 COVID-19 期间的全球价格信息性

目的本研究旨在利用来自 61 个国家的 32,452 家公司研究 COVID-19 危机期间的股价同步性。本文探讨了政府效率对同步性的影响，同时对发达市场和新兴市场进行了区分。研究分析采用普通 OLS 汇总回归分析。本文表明，随着危机的加剧，同步性也在增强。此外，政府的作用降低了 COVID-19 对同步性的影响，发达市场的同步性强于新兴市场。原创性/价值本研究的新颖之处在于记录了 COVID-19 大流行对股票价格同步性的影响。研究结果有助于加深对重大破坏性冲击下市场行为的理解。

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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来源期刊

Journal of Financial Reporting and Accounting BUSINESS, FINANCE-

CiteScore

5.80

自引率

16.00%

发文量