Related work & Comparison

Article 1) The effect of COVID-19 pandemic on global stock markets: Return, volatility, and bad state probability dynamics

Autors: Mohamed A.K. Basuony, Mohammed Bouaddi, Heba Ali, and Rehab EmadEldeen
Year: 2021
Publisher: Journal of Public Affairs
DOI: doi.org/10.1002/pa.2761
Reference: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8646943/

Description:
This research is about the pandemic's impact on stock returns, volatility, skewness, and bad state probabilities, by using an asymmetric EGARCH model to analyse international stock market indices from nine countries from January 2013 to December 2020. It shows increased volatility, the pandemic's impact on stock returns, skewness, and bad state probabilities in global markets.

Comparison:
The paper of Basuony et al. focuses on international stock market indices in several countries, examining volatility and bad state probabilities, and utilizes an asymmetric exponential generalized autoregressive conditional model. MarketQuake, therefore, relies on the stock markets NASDAQ, S&P500, FORBES2000, and NYSE, where we explore trends, volatility, and sector-specific performances by combining this data with COVID-related death tolls and sector-specific categorization.
As some key findings, Basuony et al. found increases in market volatilities and bad state probabilities, with varying impacts across markets, which is emphasized by the asymmetric impact of the pandemic, particularly highlighting the stronger negative impact of deaths. Here we narrowed this down and used correlations between stock market performances and COVID-19 phases, with a specific focus on US markets and global trends, and specifically analyzed relevant sector-wise impacts, among Technology, Healthcare, and Industrial sectors. In general, the paper agrees with the significant impact of COVID-19 on stock markets especially regarding the negative effect of deaths where Basuony et al. state that the effect of deaths was more pronounced than the positive impact of recoveries.

Article 2) Impact of COVID-19 Cases, Deaths, Stringency and Vaccinations on the US Stock Market

Autors: Rohit Mishra, Rajesh Sharma, Yaswanth Karedla, and Nikunj Patel
Year: 2022
Publisher: MDI in the journal "Vision."
DOI: doi.org/10.1177/09722629221074901
Reference: https://journals.sagepub.com/doi/full/10.1177/09722629221074901

Description:
The study offers an analysis of the US stock market's response to the pandemic by using an Autoregressive Distributed Lag (ARDL) bounds test approach to analyze the long-term and short-term impacts of COVID-19 metrics from January 2020 to April 2021. In general, the article explores the negative effects of confirmed cases and stringency on the market and the positive impact of vaccinations. Therefore it focuses on how various COVID-19 metrics, such as cases, deaths, vaccination rates, and stringency measures, impacted stock prices.

Comparison:
The paper by Mishra et al. concentrates on the US stock market, examining COVID-19 cases, deaths, stringency measures, and vaccinations, utilizing the ARDL bounds test for analysis, while we not only but mainly concentrate on US stock markets regarding death rates, analyzing global trends, market behaviors, and sector-specific performances, focusing on correlation patterns between market indices and COVID-19 statistics.
Regarding the findings and discussion of the results, Mishra et al. show that confirmed cases and stringency measures negatively affected the stock market, while vaccinations had a positive impact. As for our results, we observed relationships between stock prices and COVID-19 deaths at different phases, with specific patterns across indices and sectors, where those patterns could correspond to the confirmed cases and stringency measures and vaccinations that Mishra et al. provide. Furthermore, their study highlights the importance of vaccinations and government stringency in influencing market performance without regarding a sector-wise stock analysis and they show that the market is more affected by confirmed cases than deaths. In summary, the findings of the paper complement our results, while they differ in their geographical focus, sector analysis, and specific factors like vaccination and government measures, where we offer a more diversified analysis across major indices and sectors.

Article 3) Stock markets’ reaction to COVID-19: Cases or fatalities?

Autors: Badar Nadeem Ashraf
Year: 2020
Publisher: Journal "Research in International Business and Finance"
DOI: doi.org/10.1016/j.ribaf.2020.101249
Reference: https://www.sciencedirect.com/science/article/pii/S0275531920304141

Description:
The study covers 64 countries and analyzes the period from January 2020, to April 2020 by using daily data on COVID-19 cases and deaths along with stock market returns. It focuses on how global stock markets reacted to the increase in COVID-19 cases or fatalities, especally on the stock market's immediate reaction to the increase in COVID-19 cases and fatalities, finding that markets responded more sensitively to case numbers than to death tolls.

Comparison:
The paper by Ashraf focuses on examines international stock markets responses to COVID-19 cases and fatalities using data from a broad range of countries, while we focus on NASDAQ, S&P500, FORBES2000, and NYSE, exploring market trends and sector-specific performances, focusing on specific stock changes regarding our categorisation. Up on our observations of correlations between market performances and COVID-19 phases, with time dependent phases, the paper of Ashraf finds a strong negative response in stock markets regarding COVID-19 cases and therefore shows early and proactive market response to the pandemic only within 2020.

Further related work

In addition to these three articles, which in particular also deal with the analysis of death corona mortality rates, there are also numerous other studies on this topic, which, apart from infection and corona mortality rates, also draw on a wide range of other dependencies in the corona pandemic.

To highlight a few more, Basuony et al. (Article1) provids a broad overview of similar studies and results:

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