COVID-19: A Game-changer to Equity Markets?

Saeed Golmohammadi; Babak Fazelabdolabadi

doi:10.28991/HEF-2021-02-01-05

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Saeed Golmohammadi
saeed.golmohammadi@ufz.de
1) Helmholtz Center for Environmental Research, Theodor-Lieser-Straße 4, 06120 Halle, Germany; 2) Technical University Bergakademie Freiberg, Agricolastraße 22, 09599 Freiberg,, Germany
Babak Fazelabdolabadi Research Institute of Petroleum Industry, Tehran, 14856-13111,, Iran, Islamic Republic of

Vol. 2 No. 1 (2021): March

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This article applies the effective transfer entropy methodology to quantify the information flow between equities in major global equity markets in Australia, Brazil, Canada, China, Germany, Iran, Japan, Qatar, Saudi Arabia, South Africa, South Korea, United Kingdom, and the United States”a pool of 2200 companies is included. To account for COVID-19 impacts, the period of the study was extended over two years. The results show changes to the information flow pattern after COVID-19, with the largest changes being encountered in Australia, Brazil, Canada, Japan, and the United States for their largest market participants (by market capitalization). In comparison, the Asian markets' information flow patterns show less noticeable changes following COVID-19. On a sector level, most of the markets studied have seen substantial changes in the functionality of their sectors”in terms of being a transmitter or receiver of information”after COVID-19's appearance. The fraction of sectors with a complete change in their influencing role since COVID-19 has been over 70% in Australia, Canada, South Africa, and the United States. The financial services sector has retained its role as being the most influential sector in 6 out of 13 markets considered after COVID-19. For most of the markets, the basic materials, communications, energy, and utilities sectors have retained an intermediate position in the information flow diagram after COVID-19. The German market has been the only market, in which the main information transmitter and receiver sectors have remained unchanged since COVID-19. The results suggest drastic moves in major global equity markets, which have been concurrent with the virus outbreak.

Doi: 10.28991/HEF-2021-02-01-05

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COVID-19: A Game-changer to Equity Markets?

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COVID-19: A Game-changer to Equity Markets?

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