Original scientific paper
https://doi.org/10.1080/1331677X.2022.2090403
Time of COVID-19: stability analysis of stocks, exchange rates, minerals and metals markets
Iulia Cristina Iuga
Syeda Rabab Mudakkar
Larisa Loredana Dragolea
Abstract
The coronavirus (COVID-19) pandemic has shaken the global
economy and significantly affected the financial markets. This anxiety
triggered panic reactions. The article aims to explain impact
of abrupt changes in structural stability of four key asset markets
due to pandemic. It includes a detail discussion regarding structural
change in co-movement of stock indices, exchange rates,
minerals and metal returns. The daily returns of 14 financial indices
across four groups during a span of 25 January 2019 to 3
February 2021 are sampled. The selection of financial assets is
based on trading volume and velocity in each of the four groups.
The results of Markov Switching model explain that pandemic not
only increase volatility of financial markets but also have a significant
long-term impact on structural behaviour in daily returns.
The analysis further reveals differences in co-movement of financial
returns during two periods. However, on a positive note, pandemic
does make a way for few financial assets to dominate the
market, especially ones recognised as ‘safe-haven’ assets.
Keywords
COVID-19; financial instruments; triggered panic reaction; increase volatility; structural change; safe haven assets; Markov Switching model
Hrčak ID:
304177
URI
Publication date:
31.3.2023.
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