03 Aug 2021
A team of Sasin School of Management researchers; Assistant Professor Pattarake Sarajoti, Ph.D., Associate Professor Pattanaporn Chatjuthamard, Ph.D., Assistant Professor Pavitra Jindahra, Ph.D., Professor Sirimon Treepongkaruna, Ph.D.; co-authored a research paper – The Effect of COVID-19 on the Global Stock Market – to be published in the Accounting & Finance Journal. The paper investigates the effects of COVID-19 on the global stock market. Specifically, the Sasin researchers test whether the growth in the number of confirmed cases/deaths affects market quality, measured by returns, realized volatility, jumps, and co-jumps for 43 stock indices around the world. They found that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing returns. Furthermore, they explored whether economic, financial, and political risks play any significant role in the relation between the number of confirmed cases/deaths and market quality. Overall, they found that the risk from COVID-19 overshadows these risks.
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