Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/42411 |
Resumo: | This dissertation explores the impact of the Covid-19 pandemic on the Euro STOXX 50 index, a key benchmark for the eurozone financial market. The study utilizes daily infections and fatalities related to Covid-19 to investigate its influence on the index’s volatility and returns. Using data from Yahoo Finance for the Euro STOXX 50 index and the World Health Organization for the daily infections and Covid-19 related fatalities, the study focuses on the period between January 2nd, 2020 and December 31st, 2020. This study employs the GARCH (1,1) model with a skewed student distribution to analyse the impact of the pandemic on the Euro STOXX 50 index. This model uses 257 observations from the daily log returns from 2020. allows for the variance of the error term to be time-dependent, making it suitable for analysing data with heteroscedasticity. The study finds that the pandemic's arrival in Europe led to a significant decline in prices from late February to early March. However, prices stabilized from June, only to be significantly affected again in November. These findings suggest that reacted heavily to both lockdowns due to decreases in economic activity, suggesting that even though the increase in cases and deaths did have a significant impact the index volatility, it was the decrease in economic activity and the speculation regarding the consequences from the in how economy would react to the policies taken that actually had a heavy impact on the financial market. |
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Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock marketCovid-19European financial marketEconomic instabilityMercado financeiro europeuInstabilidade económicaDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis dissertation explores the impact of the Covid-19 pandemic on the Euro STOXX 50 index, a key benchmark for the eurozone financial market. The study utilizes daily infections and fatalities related to Covid-19 to investigate its influence on the index’s volatility and returns. Using data from Yahoo Finance for the Euro STOXX 50 index and the World Health Organization for the daily infections and Covid-19 related fatalities, the study focuses on the period between January 2nd, 2020 and December 31st, 2020. This study employs the GARCH (1,1) model with a skewed student distribution to analyse the impact of the pandemic on the Euro STOXX 50 index. This model uses 257 observations from the daily log returns from 2020. allows for the variance of the error term to be time-dependent, making it suitable for analysing data with heteroscedasticity. The study finds that the pandemic's arrival in Europe led to a significant decline in prices from late February to early March. However, prices stabilized from June, only to be significantly affected again in November. These findings suggest that reacted heavily to both lockdowns due to decreases in economic activity, suggesting that even though the increase in cases and deaths did have a significant impact the index volatility, it was the decrease in economic activity and the speculation regarding the consequences from the in how economy would react to the policies taken that actually had a heavy impact on the financial market.Esta dissertação explora o impacto da pandemia Covid-19 no índice Euro STOXX 50, uma referência chave para o mercado financeiro da zona euro. O estudo utiliza infecções diárias e fatalidades relacionadas ao Covid-19 para investigar o seu impacto na volatilidade e retornos do índice. Usando dados do Terminal Yahoo Finance para o índice Euro STOXX 50 e da Organização Mundial da Saúde (OMS) para infecções diárias e mortes relacionadas ao Covid-19, o estudo é referente ao período entre 2 de janeiro de 2020 e 31 de dezembro de 2020. Este estudo utiliza o modelo GARCH (1,1) com uma distribuição t-student assimétrica para analisar o impacto da pandemia no índice Euro STOXX 50. Este modelo usa retornos de log diários de 2020, permitindo que a variância do termo de erro seja dependente do tempo, tornando-o adequado para analisar dados com heterocedasticidade. O estudo revela que a chegada da pandemia na Europa levou a uma queda significativa nos preços no final do mês fevereiro e durante março. No entanto, os preços estabilizaram-se a partir de junho, sendo novamente significativamente afetados no mês de novembro. Estas descobertas sugerem que o mercado financeiro europeu reagiu fortemente à pandemia, devido à diminuição da atividade económica, sugerindo que, embora o aumento de casos e mortes tenha tido um impacto significativo na volatilidade do índice, foi a queda na atividade económica e a especulação relativa ao comportamento da economia e das consequências das políticas tomadas que mais impactaram o mercado financeiro.Alves, Paulo Alexandre PimentaVeritati - Repositório Institucional da Universidade Católica PortuguesaMendonça, Gonçalo Miguel Pacheco Fonseca Lopes de2023-07-1420232024-09-01T00:00:00Z2023-07-14T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/42411TID:203350243enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-09-26T01:43:50Zoai:repositorio.ucp.pt:10400.14/42411Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:29:37.000578Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market |
title |
Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market |
spellingShingle |
Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market Mendonça, Gonçalo Miguel Pacheco Fonseca Lopes de Covid-19 European financial market Economic instability Mercado financeiro europeu Instabilidade económica Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market |
title_full |
Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market |
title_fullStr |
Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market |
title_full_unstemmed |
Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market |
title_sort |
Market uncertainty and the European stock market : analysis of covid-19 pandemic impact on the European stock market |
author |
Mendonça, Gonçalo Miguel Pacheco Fonseca Lopes de |
author_facet |
Mendonça, Gonçalo Miguel Pacheco Fonseca Lopes de |
author_role |
author |
dc.contributor.none.fl_str_mv |
Alves, Paulo Alexandre Pimenta Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Mendonça, Gonçalo Miguel Pacheco Fonseca Lopes de |
dc.subject.por.fl_str_mv |
Covid-19 European financial market Economic instability Mercado financeiro europeu Instabilidade económica Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Covid-19 European financial market Economic instability Mercado financeiro europeu Instabilidade económica Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This dissertation explores the impact of the Covid-19 pandemic on the Euro STOXX 50 index, a key benchmark for the eurozone financial market. The study utilizes daily infections and fatalities related to Covid-19 to investigate its influence on the index’s volatility and returns. Using data from Yahoo Finance for the Euro STOXX 50 index and the World Health Organization for the daily infections and Covid-19 related fatalities, the study focuses on the period between January 2nd, 2020 and December 31st, 2020. This study employs the GARCH (1,1) model with a skewed student distribution to analyse the impact of the pandemic on the Euro STOXX 50 index. This model uses 257 observations from the daily log returns from 2020. allows for the variance of the error term to be time-dependent, making it suitable for analysing data with heteroscedasticity. The study finds that the pandemic's arrival in Europe led to a significant decline in prices from late February to early March. However, prices stabilized from June, only to be significantly affected again in November. These findings suggest that reacted heavily to both lockdowns due to decreases in economic activity, suggesting that even though the increase in cases and deaths did have a significant impact the index volatility, it was the decrease in economic activity and the speculation regarding the consequences from the in how economy would react to the policies taken that actually had a heavy impact on the financial market. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-07-14 2023 2023-07-14T00:00:00Z 2024-09-01T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/42411 TID:203350243 |
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http://hdl.handle.net/10400.14/42411 |
identifier_str_mv |
TID:203350243 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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embargoedAccess |
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application/pdf |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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