The Effect of Cases And Fatalities from Covid-19 Pandemic on Thai Stock Market

ผู้แต่ง

  • รุ่งรวิน ธีรมงคล ปริญญาโททางการเงิน คณะพาณิชยศาสตร์และการบัญชี มหาวิทยาลัยธรรมศาสตร์

คำสำคัญ:

COVID-19, stock market, volatility, liquidity, sentiment index

บทคัดย่อ

In this study, the author aimed to determine whether COVID-19 had an impact on the stock market and the extent of its impact in each wave. The author proposed the following hypotheses: COVID-19 worsened stock market liquidity and volatility, and the effect of COVID-19 was the largest in the first wave compared with the subsequent waves. The author used panel regression with fixed effects to estimate the results. The author obtained the data, with daily frequency, from January 13, 2020 to September 13, 2021, and separated them into three waves. Results showed that most of the COVID-19 pandemic indices, except for mobility trends, worsened stock market liquidity and volatility. Moreover, the impact of COVID-19 was the largest in the first wave and decreased continuously in the subsequent waves. However, the stringency index did not follow this pattern, which had the highest negative impact on stock market liquidity and volatility in the second wave and was considered as the index that exerted the highest overall impact.

Downloads

Download data is not yet available.

References

Ahmed, F., Syed, A. A., Kamal, M. A., de las Nieves López-García, M., Ramos-

Requena, J. P., & Gupta, S. (2021). Assessing the impact of COVID-19 pandemic on the stock and commodity markets performance and sustainability: A comparative analysis of South Asian countries. Sustainability, 13(10), 5669. https://doi.org/10.3390/su13105669

Anh, D. L. T., & Gan, C. (2020). The impact of the COVID-19 lockdown on stock

market performance: evidence from Vietnam. Journal of Economic Studies. https://doi.org/10.1108/JES-06-2020-0312

Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2021). Deaths, panic, lockdowns

and US equity markets: The case of COVID-19 pandemic. Finance research letters, 38, 101701. https://doi.org/10.1016/j.frl.2020.101701

Bakry, W., Kavalmthara, P. J., Saverimuttu, V., Liu, Y., & Cyril, S. (2022). Response of

stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets. Finance research letters, 46, 102350. https://doi.org/10.1016/j.frl.2021.102350

Blau, B. M. (2018). Does religiosity affect liquidity in financial markets?. Journal of

Behavioral and Experimental Finance, 19, 72-83. https://doi.org/10.1016/j.jbef.2018.05.002

Bouchaud, J.P., Vettorazzo, M., Kockelkoren, J., Wyart, M. & Potters, M. (2007).

Relation between Bid-Ask Spread, Impact and Volatility in Order-Driven Markets. Quantitative Finance, 8(1), pp.41-57. https://doi.org/10.48550/arXiv.physics/0603084

Brunnermeier, M.K. & Pedersen, L.H. (2009). Market liquidity and funding liquidity.

The review of financial studies, 22(6), 2201-2238. https://doi.org/10.1093/rfs/hhn098

Chatjuthamard, P., Jindahra, P., Sarajoti, P. & Treepongkaruna, S. (2021). The effect of

COVID‐19 on the global stock market. Accounting & Finance, 61(3), 4923-4953. https://doi.org/10.1111/acfi.12838

Cheong, C. W., Ariff, M., & Subramaniam, N. R. (2020). Did Financial Markets

Overreact to COVID-19?. Available at SSRN 3694278.

Chiu, J., Chung, H., Ho, K.Y. & Wang, G.H. (2012). Funding liquidity and equity

liquidity in the subprime crisis period: Evidence from the ETF market. Journal of Banking & Finance, 36(9), 2660-2671. https://doi.org/10.1016/j.jbankfin.2012.06.003

Chundakkadan, R. & Nedumparambil, E. (2021). COVID-19 and stock market behavior,

Global Finance Journal, 2021. https://doi.org/10.1016/j.gfj.2021.100639

French, K. R., Schwert, G., & Stambaugh, R. F. (1987). Expected Stock Returns and

Volatility. Journal of Financial Economics, 19 (1), 3-29. https://doi.org/10.1016/0304-405X(87)90026-2

Grima, S., Özdemir, L., Özen, E. & Romanova, I. (2021). The Interactions between

COVID-19 Cases in the USA, the VIX Index and Major Stock Markets. International Journal of Financial Studies, 9-26. https://doi.org/10.3390/ijfs9020026

Haugen, R. A., Talmor, E., & Torous, W. N. (1991). The effect of volatility changes on

the level of stock prices and subsequent expected returns. The Journal of Finance, 46(3), 985-1007. https://doi.org/10.1111/j.1540-6261.1991.tb03774.x

Hong, H., Bian, Z., & Lee, C. C. (2021). COVID-19 and instability of stock market

performance: evidence from the US. Financial Innovation, 7(1), 1-18. https://doi.org/10.1186/s40854-021-00229-1

Ibrahim, I., Kamaludin, K., & Sundarasen, S. (2020). COVID-19, government response,

and market volatility: Evidence from the Asia-Pacific developed and developing markets. Economies, 8(4), 105. https://doi.org/10.3390/economies8040105

Kahneman, D., & Tversky, A. (1979). On the interpretation of intuitive probability: A

reply to Jonathan Cohen. https://doi.org/10.1016/0010-0277(79)90024-6

Lee, J., & Chung, K. (2017). The effect of market volatility on liquidity and stock returns

in the Korean stock market (No. 2017-18). https://ideas.repec.org/p/bok/wpaper/1718.html

Lesmond, D.A. (2005). Liquidity of emerging markets. Journal of financial economics,

(2), 411-452. https://doi.org/10.1016/j.jfineco.2004.01.005

Marozva, G. & Magwedere, M.R. (2021). COVID-19 and stock market liquidity: An

analysis of emerging and developed markets. Scientific Annals of Economics and Business, 68(2), 129-144. https://doi.org/10.47743/saeb-2021-0010

Mishra, P. K., & Mishra, S. K. (2022). Is the impact of covid-19 significant in

determining equity market integration? Insights from BRICS economies. Global Journal of Emerging Market Economies, 14(2), 137-162. https://doi.org/10.1177/09749101211070960

Nguyen, C. T., Hai, P. T., & Nguyen, H. K. (2021). Stock market returns and liquidity

during the COVID-19 outbreak: evidence from the financial services sector in Vietnam. Asian journal of Economics and Banking.

https://doi.org/10.1108/AJEB-06-2021-0070

Panyagometh, K. (2020). The effects of pandemic event on the stock exchange of

Thailand. Economies, 8(4), 90. https://doi.org/10.3390/economies8040090

Permata, R. R., Purwanto, B., & Ermawati, W. J. (2021). The Outbreak of COVID-19

and Islamic Stock Market Responses in Indonesia. The Winners, 22(2), 105-112. https://doi.org/10.21512/tw.v22i2.7104

Sapkota, S. P. (2020). Impact of epidemic infectious disease and death on stock returns:

Evidences from Asian stock markets with COVID-19. Contemporary Research: An Interdisciplinary Academic Journal, 4(1), 174-191. https://doi.org/10.3126/craiaj.v4i1.32759

Syed, A. A. S., & Fatima, K. (2021). The impact of COVID-19 on stock market volatility

in Pakistan. arXiv preprint arXiv:2103.03219. https://doi.org/10.48550/arXiv.2103.03219

Yang, H., & Deng, P. (2021). The impact of COVID-19 and government intervention on

stock markets of OECD countries. Asian Economics Letters, 1(4), 18646. https://doi.org/10.46557/001c.18646

Downloads

เผยแพร่แล้ว

2022-08-29