Analysis of the Impact of the COVID-19 Pandemic on Stock Exchange Indices in Italy

IF 0.5 Q3 AREA STUDIES
N. Akbulaev, F. Ahmadov, M. R. Mammadova
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引用次数: 0

Abstract

The present paper investigates the impact of the COVID-19 pandemic on the prices of the Italian stock exchange indices. During the pandemic, the global economy as well as financial markets suffered due to isolation and social distancing. Paired models of the dependence of the key indices of the Italian stock exchange on the number of patients, recovered and died were analysed using the least squares method. Further, various tests were performed to verify the feasibility of the Gauss-Markov conditions by applying Gretl tools: White Test for heteroskedasticity of residues, Durbin-Watson test for autocorrelation of residuals and normality of distribution of residuals. Statistically significant regression models were constructed that characterise the impact of morbidity and mortality in the Italian population during the COVID-19 pandemic on the price of 11 key stock exchange indices. Based on this, the study examined the COVID-19 pandemic period in the spring of 2020 in Italy, the results of which revealed a loss in stock returns and high volatility in stock returns during this period compared to the normal study period. The econometric model shows that COVID-19 had a negative impact on stock returns and a number of other stock market indicators in Italy. It was revealed that the number of deaths from coronavirus is statistically significantly interconnected with all key stock exchange indices.
新冠肺炎疫情对意大利证券交易所指数的影响分析
本文调查了COVID-19大流行对意大利证券交易所指数价格的影响。在疫情期间,全球经济和金融市场因隔离和保持社会距离而受到影响。利用最小二乘法分析了意大利证券交易所关键指数对患者、康复和死亡人数的依赖关系的配对模型。此外,利用Gretl工具对高斯-马尔可夫条件的可行性进行了验证:残差异方差的White检验、残差自相关的Durbin-Watson检验和残差分布的正态性检验。构建了具有统计意义的回归模型,描述了COVID-19大流行期间意大利人口发病率和死亡率对11个主要证券交易所指数价格的影响。在此基础上,本研究考察了2020年春季意大利的COVID-19大流行时期,结果显示,与正常研究时期相比,这一时期的股票回报出现了损失,股票回报出现了高波动性。计量经济模型显示,COVID-19对意大利的股票回报和其他一些股市指标产生了负面影响。据透露,冠状病毒死亡人数与所有主要证券交易所指数在统计上存在显着相关性。
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
CiteScore
1.80
自引率
20.00%
发文量
23
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