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COVID-19 e o seu impacto nos mercados financeiros
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A COVID-19 provocou uma crise pandémica e tem vindo a ser alvo de inúmeras investigações
sobre o seu impacto na economia, um pouco por todo o mundo. No entanto, ainda existe muito para
investigar e concluir, uma vez que é um tema atual e continua a ser imprevisível o desenvolvimento
da pandemia. Para a controlar, são impostas diversas medidas de restrição nos diversos países, bem
como a existência de vacinação e, por isso, é também muito complexo concluir sobre o seu impacto
nos diversos mercados, e até mesmo nos seus diversos setores.
Este estudo investiga o impacto da COVID-19 e do seu desenvolvimento nos mercados financeiros, analisando o retorno, a volatilidade dos mercados e o impacto do coronavírus no mercado
americano e no mercado europeu, e nos respetivos setores de saúde, turismo e tecnologia. Neste
estudo são também consideradas diferentes medidas de COVID-19, em particular o número de novos
casos e a taxa de deteção do vírus.
Assim, toda a análise é feita para dois mercados, o mercado americano e o mercado europeu,
dois subperíodos, um de pré-vacinação e o outro de pós-vacinação, e para setores eventualmente
mais afetados por esta crise. Deste modo, a presente investigação contribui para o alargamento e
aprofundamento da medição dos efeitos da pandemia, atendendo ao grau das medidas de restrição,
ao comparar diferentes mercados, às diferenças entre setores, à presença de vacinação ou não, e
considerando diferentes formas de medir a pandemia.
A robustez da análise é também assegurada do ponto de vista metodológico, recorrendo a
mais do que uma forma de extrair respostas dinâmicas ao choque da pandemia e modelos que permitem a interação das variáveis relevantes, seja com retornos, seja com volatilidade.
COVID-19 caused a pandemic crisis and has been the target of numerous investigations focused on its impact on the economy all over the world. However, there is still much to be investigated and concluded, as it is a current issue, and the development of the pandemic remains unpredictable. To control it, various restriction measures are imposed in all the different countries, as well as the ex- istence of vaccination, and because of that it’s very complex to conclude on its impact on different markets, and even on each sector. This study investigates the impact of COVID-19 and its development on the financial markets, analyzing the return, market volatility and the impact of the coronavirus on the American and European markets, and on respective healthcare, tourism, and technology sectors. In this study, different measures of COVID-19 are considered, particularly the number of new cases and the positive rate. In addition, the entire analysis is done for two markets, American and European markets, for two subperiods: one based on pre-vaccination and the other one based on post-vaccination, for sectors that may be more affected by this crisis. In this way, this research contributes to the broadening and deepening of the measurement of the effects of the pandemic, with attention to the degree of restriction measures, when comparing different markets, the differences between sectors, the presence of vaccination or not, and considering different ways of measuring the pandemic. The robustness of the analysis is also ensured from a methodological point of view, using more than one way of extracting dynamic responses to the pandemic shock and models that allow the interaction of relevant variables, either with returns or with volatility.
COVID-19 caused a pandemic crisis and has been the target of numerous investigations focused on its impact on the economy all over the world. However, there is still much to be investigated and concluded, as it is a current issue, and the development of the pandemic remains unpredictable. To control it, various restriction measures are imposed in all the different countries, as well as the ex- istence of vaccination, and because of that it’s very complex to conclude on its impact on different markets, and even on each sector. This study investigates the impact of COVID-19 and its development on the financial markets, analyzing the return, market volatility and the impact of the coronavirus on the American and European markets, and on respective healthcare, tourism, and technology sectors. In this study, different measures of COVID-19 are considered, particularly the number of new cases and the positive rate. In addition, the entire analysis is done for two markets, American and European markets, for two subperiods: one based on pre-vaccination and the other one based on post-vaccination, for sectors that may be more affected by this crisis. In this way, this research contributes to the broadening and deepening of the measurement of the effects of the pandemic, with attention to the degree of restriction measures, when comparing different markets, the differences between sectors, the presence of vaccination or not, and considering different ways of measuring the pandemic. The robustness of the analysis is also ensured from a methodological point of view, using more than one way of extracting dynamic responses to the pandemic shock and models that allow the interaction of relevant variables, either with returns or with volatility.
Descrição
Palavras-chave
COVID-19 mercados financeiros setores resposta a impulso correlação