The Impact of the Covid-19 Pandemic on Persistence in the European Stock Markets

Guglielmo Maria Caporale, Luis Gil-Alana and Isabel Arrese Lasaosa

No 9382, CESifo Working Paper Series from CESifo

Abstract: This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the effects of the pandemic are assessed by comparing the pre-pandemic estimates (over the period 2005-2019) to those from a sample extended until July 2021 which includes the pandemic period. The approach used is more general than the standard one based on the stationarity versus non-stationarity dichotomy and allows for a wider range of dynamic processes. Three different model specifications are considered, and these are estimated under two alternative assumptions for the disturbances (white noise and autocorrelation). The findings indicate that there has not been any significant impact of the Covid-19 pandemic on the degree of persistence of the European stock market indices, though their volatility persistence has decreased.

Keywords: Covid-19 pandemic; European stock market indices; persistence; fractional integration (search for similar items in EconPapers)
JEL-codes: C22 G15 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-eec, nep-fmk and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_9382

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