Which COVID-19 information really impacts stock markets? [Dataset]

Abstract

Information about COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock markets. The accompanying file for this output contains Appendices A and B for the article available at https://doi.org/10.1016/j.intfin.2022.101592.

Citation

SZCZYGIELSKI, J.J., CHARTERIS, A., BWANYA, P.R. and BRZESZCZYŃSKI, J. 2023. Which COVID-19 information really impacts stock markets? [Dataset]. Journal of international financial markets, institutions and money [online], 84, article 101592. Available from: https://doi.org/10.1016/j.intfin.2022.101592

• Acceptance Date: May 23, 2022
• Online Publication Date: May 27, 2022
• Publication Date: Apr 30, 2023
• Deposit Date: Mar 31, 2023
• Publicly Available Date: May 28, 2023
• Publisher: Elsevier
• DOI: https://doi.org/10.1016/j.intfin.2022.101592
• Keywords: COVID-19; Stock markets; Uncertainty; Lockdowns; Government responses
• Public URL: https://rgu-repository.worktribe.com/output/1925343
• Related Public URLs: https://rgu-repository.worktribe.com/output/1925331 (Journal article)
• Type of Data: Supplementary tables and figures.
• Collection Date: Oct 20, 2020
• Collection Method: Our primary financial data spans the period from 1 January 2015 to 20 October 2020,5 comprising daily levels for 35 of the largest MSCI Country Indices by market capitalisation in US dollars as of the end of November 2019.6 We designate January 2020 to the end of October 2020 as the height of the COVID-19 crisis for financial markets, coinciding with the outbreak of the virus which is followed by a severe market downturn and a subsequent recovery (see Fig. 1A in Appendix A). We began our investigation of the impact of COVID-19 measures on returns by investigating the structure of the return generating process prior to the COVID-19 period, 1 January 2015 to 31 December 2019, and during the COVID-19 crisis period designated as 1 January 2020 to 20 October 2020. The start of the COVID-19 pandemic is based upon events occurring shortly before this date and the availability of data that follows. The first documented COVID-19 hospital admission took place on 16 December 2019 in Wuhan, China (Huang et al., 2020). Numerous measures, such as the number of total cases and data on government containment and economic support measures, are reported from early January or mid-January 2020 as is the case for the number of deaths. Returns over the pre-COVID-19 and COVID-19 crisis periods are factor analysed to determine the number of factors in the return generating process prior to the COVID-19 outbreak and during the COVID-19 crisis period. To identify the number of latent factors representative of composite common factors driving national stock market returns, the minimum average partial (MAP) test is applied (Szczygielski et al., 2020a). Once factor scores have been derived, they are subjected to varimax rotation and are then used to select and identify the impact of COVID-19 measures on stock markets.