Evaluation of transmission effects of the COVID-19 shock on major Asian stock markets

This paper aims to evaluate the spillover effect of the COVID-19 shock on major global stock markets, including Shanghai, Hong Kong, Japan's Nikkei, Korea, and Nasdaq stock markets, using daily data of stock prices during the beginning of the pandemic outbreak (December 2019-May 2020). Our findings indicate while shocks on some of these markets have a long-term impact, they are of short-term effect on other markets in the group. Impulse response function analysis indicate, the pandemic shock on Japan and Shanghai stock markets caused persistent effects on the Hong Kong stock market, but the shock on the Nasdaq stock market caused a transitory short-term effect on the Hong Kong stock market. The pandemic shock on Hong Kong, Japan, and Nasdaq stock markets caused a persistent impact on the Korean stock market, but transitory effects were evidenced on Shanghai and Nasdaq stock markets from the transmission of shocks on the other markets in the group.