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The quest for multidimensional financial immunity to the COVID-19 pandemic: evidence from international stock markets

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journal contribution
posted on 2023-06-09, 22:38 authored by Adam Zaremba, Renatas Kizys, Panagiotis Tzouvanas, David Y Aharon, Ender Demir
What determines a country’s financial immunity to a global pandemic? To answer this question, we investigate the behavior of 67 equity markets around the world during the COVID-19 outbreak in 2020. We consider a multidimensional data set that includes factors from finance, economics, demographics, technological development, healthcare, governance, culture, and law. Our study also accounts for government interventions, such as containment and closure policies, and economic stimuli. We apply machine learning techniques, panel regression, and factor analysis to ascertain sources of financial immunity to the coronavirus pandemic. Our findings demonstrate that stock markets in countries with low unemployment rates and populated with firms with conservative investment policies and low valuations relative to expected profits tend to be more immune to the healthcare crisis. We also find that firm government policy responses tend to support stock markets in times of the pandemic.

History

Publication status

  • Published

File Version

  • Accepted version

Journal

Journal of International Financial Markets, Institutions and Money

ISSN

1042-4431

Publisher

Elsevier

Article number

a101284

Department affiliated with

  • Accounting and Finance Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2021-01-06

First Open Access (FOA) Date

2022-01-14

First Compliant Deposit (FCD) Date

2021-01-05

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