Pandemic market dynamics: analyzing global price informativeness during COVID-19

Abed Al Nasser Abdallah; Wissam Abdallah; Youssef Bassam; Ullas Rao; Mohsen Saad

doi:10.1108/JFRA-12-2023-0775

Pandemic market dynamics: analyzing global price informativeness during COVID-19

Abed Al Nasser Abdallah, Wissam Abdallah, Youssef Bassam, Ullas Rao, Mohsen Saad^*

^*Corresponding author for this work

School of Social Sciences

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

Purpose
This study aims to examine stock price synchronicity during the COVID-19 crisis using 32,452 firms from 61 countries. This paper explores the impact of government effectiveness on synchronicity while distinguishing between developed and emerging markets.

Design/methodology/approach
The research analysis employs ordinary OLS pooled regression analysis.

Findings
This paper presents worldwide evidence that stock price synchronicity was significantly higher during February and March 2020. This paper shows that synchronicity increased with the intensity of the crisis. In addition, the government's role reduced the COVID-19 impact on synchronicity, which was stronger in developed markets than in emerging markets.

Originality/value
The novelty of the study lies in documenting the impact of the COVID-19 pandemic on stock price synchronicity. The findings add to a deeper understanding of market behavior amid significant disruptive shocks.

Original language	English
Journal	Journal of Financial Reporting and Accounting
Early online date	28 Jun 2024
DOIs	https://doi.org/10.1108/JFRA-12-2023-0775
Publication status	E-pub ahead of print - 28 Jun 2024

Keywords

COVID-19
Developed markets
Emerging markets
GGI
Stock price synchronicity

ASJC Scopus subject areas

Management Information Systems
Accounting
Economics, Econometrics and Finance (miscellaneous)

Access to Document

10.1108/JFRA-12-2023-0775

Cite this

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title = "Pandemic market dynamics: analyzing global price informativeness during COVID-19",

abstract = "PurposeThis study aims to examine stock price synchronicity during the COVID-19 crisis using 32,452 firms from 61 countries. This paper explores the impact of government effectiveness on synchronicity while distinguishing between developed and emerging markets. Design/methodology/approachThe research analysis employs ordinary OLS pooled regression analysis.FindingsThis paper presents worldwide evidence that stock price synchronicity was significantly higher during February and March 2020. This paper shows that synchronicity increased with the intensity of the crisis. In addition, the government's role reduced the COVID-19 impact on synchronicity, which was stronger in developed markets than in emerging markets.Originality/valueThe novelty of the study lies in documenting the impact of the COVID-19 pandemic on stock price synchronicity. The findings add to a deeper understanding of market behavior amid significant disruptive shocks.",

keywords = "COVID-19, Developed markets, Emerging markets, GGI, Stock price synchronicity",

author = "Abdallah, {Abed Al Nasser} and Wissam Abdallah and Youssef Bassam and Ullas Rao and Mohsen Saad",

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doi = "10.1108/JFRA-12-2023-0775",

language = "English",

journal = "Journal of Financial Reporting and Accounting",

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AU - Abdallah, Abed Al Nasser

AU - Abdallah, Wissam

AU - Bassam, Youssef

AU - Rao, Ullas

AU - Saad, Mohsen

PY - 2024/6/28

Y1 - 2024/6/28

N2 - PurposeThis study aims to examine stock price synchronicity during the COVID-19 crisis using 32,452 firms from 61 countries. This paper explores the impact of government effectiveness on synchronicity while distinguishing between developed and emerging markets. Design/methodology/approachThe research analysis employs ordinary OLS pooled regression analysis.FindingsThis paper presents worldwide evidence that stock price synchronicity was significantly higher during February and March 2020. This paper shows that synchronicity increased with the intensity of the crisis. In addition, the government's role reduced the COVID-19 impact on synchronicity, which was stronger in developed markets than in emerging markets.Originality/valueThe novelty of the study lies in documenting the impact of the COVID-19 pandemic on stock price synchronicity. The findings add to a deeper understanding of market behavior amid significant disruptive shocks.

AB - PurposeThis study aims to examine stock price synchronicity during the COVID-19 crisis using 32,452 firms from 61 countries. This paper explores the impact of government effectiveness on synchronicity while distinguishing between developed and emerging markets. Design/methodology/approachThe research analysis employs ordinary OLS pooled regression analysis.FindingsThis paper presents worldwide evidence that stock price synchronicity was significantly higher during February and March 2020. This paper shows that synchronicity increased with the intensity of the crisis. In addition, the government's role reduced the COVID-19 impact on synchronicity, which was stronger in developed markets than in emerging markets.Originality/valueThe novelty of the study lies in documenting the impact of the COVID-19 pandemic on stock price synchronicity. The findings add to a deeper understanding of market behavior amid significant disruptive shocks.

KW - COVID-19

KW - Developed markets

KW - Emerging markets

KW - GGI

KW - Stock price synchronicity

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JO - Journal of Financial Reporting and Accounting

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Pandemic market dynamics: analyzing global price informativeness during COVID-19

Abstract

Keywords

ASJC Scopus subject areas

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