Journal of Finance and Economics
ISSN (Print): 2328-7284 ISSN (Online): 2328-7276 Website: Editor-in-chief: Suman Banerjee
Open Access
Journal Browser
Journal of Finance and Economics. 2021, 9(3), 152-160
DOI: 10.12691/jfe-9-3-6
Open AccessArticle

Does the Pandemic have Greater Impact on World’s Stock Markets?

Swetadri Samadder1 and Amalendu Bhunia2,

1Department of Mathematics, Fakir Chand College, West Bengal, India

2Department of Commerce, Dean, Faculty of Arts & Commerce, University of Kalyani, West Bengal, India

Pub. Date: June 27, 2021

Cite this paper:
Swetadri Samadder and Amalendu Bhunia. Does the Pandemic have Greater Impact on World’s Stock Markets?. Journal of Finance and Economics. 2021; 9(3):152-160. doi: 10.12691/jfe-9-3-6


This study examines the pandemic impact on world’s top forty-five stock markets along with memory analysis and leverage effect. The study is based on time-series data from January 1, 2020 to September 30, 2020 using scaling analysis by means of Hurst exponent and GARCH family models. Memory analysis suggests that all the stock markets are persistent in nature with a shade of uncertainty in the New Zealand stock market. GARCH family models show that volatility is present in some of the stock markets. Both EGARCH and TGARCH models clarified that the leverage effect is present in the BSE-India, Bangladesh, Egypt, Euronext Stock Exchange, New Zealand, and Canada stock markets; Negative information influences the stock market more than positive information for these stock markets. Nevertheless, in consideration of several limitations, an indicator to the future research is designated as well.

International stock markets memory analysis volatility leverage effect GARCH models

Creative CommonsThis work is licensed under a Creative Commons Attribution 4.0 International License. To view a copy of this license, visit


[1]  Ngwakwe, C.C. (2020). Effect of Covid-19 Pandemic on Global Stock Market Values: A Differential Analysis. Economica, 16(2), 255-269.
[2]  Bhunia, A., & Ganguly, S. (2020). An assessment of volatility and leverage effect before and during the period of Covid-19: a study of selected international stock markets. International Journal of Financial Services Management, 10(2), 113-126.
[3]  Rudden, J. (2020). Change in global stock index values during coronavirus outbreak 2020. Retrieved from
[4]  Burdekin, R.C.K. & Harrison, S. (2021). Relative Stock Market Performance during the Coronavirus Pandemic: Virus vs. Policy Effects in 80 Countries. Journal of Risk and Financial Management, 14, 1-18.
[5]  Salisu, A.A., Sikiru, A.A. & Vo, X.V. (2020). Pandemics and the emerging stock markets. Borsa Istanbul Review, 20(1), 540-548.
[6]  Black, F. (1976). Studies of Stock Market Volatility Changes. Proceedings of the American Statistical Association, Business and Economic Statistics Section, 177-181.
[7]  Campbell, J. Y., & Hentschel, L. (1992). No news is good news: An asymmetric model of changing volatiliy in stock returns. Journal of Financial Economics, 31, 281-318.
[8]  Chittineni, J. (2020). The Impact of COVID-19 Pandemic on the Relationship between India’s Volatility Index and Nifty 50 Returns. Indian Journal of Finance and Banking, 4(2), 58-63.
[9]  Claire, B.W. (2020). Volatility from the Investor's Point of View. Retrieved from
[10]  Wagner, H. (2020). Why Volatility is Important for Investors. Retrieved from
[11]  Chaudhary, R., Bakhshi, P., & Gupta, H. (2020). Volatility in International Stock Markets: An Empirical Study during COVID-19. Journal of Risk and Financial Management, 13(9), 1-17.
[12]  Bora, D., & Basistha, D. (2020). The outbreak of COVID-19 pandemic and Its Impact on Stock Market Volatility: Evidence from a worst-affected economy. Retrieved from file:// Users/Win7/Downloads/The_Outbreak_of_COVID19_Pandemic_and_Its_Impact_o.pdf.
[13]  Baek, S., Mohanty, S. K., & Mina, G. (2020). COVID-19 and Stock Market Volatility: An Industry Level Analysis. Finance research letters, 101748. Advance online publication.
[14]  Małgorzata J., & Krzysztof E. (2020). Stock Market Returns, Volatility, Correlation and Liquidity during the COVID-19 Crisis: Evidence from the Markov Switching Approach. Finance Research Letters, 101775.
[15]  Bai, L., Wei, Y., Wei, G., Li, X., & Zhang, S. (2020). Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. Finance research letters. 2020 Jul 30:101709. Epub ahead of print. PMID: 32837383; PMCID: PMC7391063.
[16]  Onally, E. (2020). Covid-19 and stock market volatility. SSRN: 10.2139/ssrn.3571453.
[17]  Wang, D., Li, P., & Huang, L. (2020). Volatility Spillovers between Major International Financial Markets during the COVID-19 Pandemic. Available at SSRN:
[18]  Morales, L., & Callaghan, B.A. (2020). Covid19: Global Stock Markets “Black Swan”. Critical Letters in Economics & Finance, 1(1), 1-14.
[19]  Mishra, P.K., & Mishra, S.K. (2020). Corona Pandemic and Stock Market Behaviour: Empirical Insights from Selected Asian Countries. Millennial Asia, 11(3), 341-365.
[20]  Christensen, C. (2020). The Relative Industry Specific Effects of COVID-19 on Market Volatility and Liquidity. All Graduate Plan B and other Reports. 1470.
[21]  Piksina, O., & Vernholmen, P. (2020). Coronavirus related sentiment and stock market prices: Measuring sentiment effects on Swedish Stock Indices (Bachelor of Science Thesis TRITA-ABE-MBT-20482). Institution of Real Estate and Construction Management. Retrieved from
[22]  Sarkar, A., Barat, P., Mukherjee P., & Bandyopadhyay, S. K. (2005). Scaling Analysis of Daily Sunspot Numbers. Proceedings of National Conference on Nonlinear Systems and Dynamics (held at A.M.U., Aligarh during February 24-26, 2005), 155.
[23]  Hurst, H.E. (1951). Long-term storage capacity of reservoirs. Transactions of American Society of Civil Engineers, 116, 770.
[24]  Scafetta, N., & Grigolini, P. (2002). Scaling detection in signal: diffusion entropy analysis. Physical Review E, 66, 036130.
[25]  Saha, G., Rakshit, K., Ghosh, K., & Chaudhuri, K.S. (2019a). A New Proposal on the Relation between Irregularity Index and Scaling Index in a Non-stationary Self-affine Signal obeying Fractional Brownian Motion. Bulletin of the Calcutta Mathematical Society, 111 (1), 79.
[26]  Saha, G., Rakshit, K., Ghosh, K., & Chaudhuri, K.S. (2019b). A Revisit to the Relation between Irregularity Index and Scaling Index in a Stationary Self-similar Signal obeying Fractional Gaussian Noise. Journal of the Calcutta Mathematical Society, 15 (2), 139.
[27]  Samadder,S., & Ghosh, K.(2020), An Early Stage Investigation of Nonlinearity and Chaos in Daily Data of New Confirmed Cases of COVID-19 Pandemic in USA, Spain, Italy and France. Bulletin of the Calcutta Mathematical Society, 112 (4), 305-328.
[28]  Rossetti, N., Nagano, M. S., & Meirelles, J. L. F. (2017). A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries. Journal of Economics, Finance and Administrative Science, 22(42), 99-128.
[29]  Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
[30]  Bollerslev, T. (1990). Modeling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model. Review of Economics and Statistics, 72, 498-505.
[31]  Nelson, D.B. (1991). Conditional heteroskedasticity in asset returns: a new Approach. Econometrica, 59(2), 347-370.
[32]  Glosten, R.T., Jagannathan, R., and Runkle, D. (1993). On the relation between the expected valueand the volatility of the nominal excess return on stocks, Journal of Finance, 48, 1779-1801.