Analysis of the Impact of the COVID-19 Pandemic on Stock Exchange Indices in Italy

Authors

DOI:

https://doi.org/10.17059/ekon.reg.2022-4-22

Keywords:

coronavirus, COVID-19, Italian stock exchange indices, Italy, econometric model, mortality, correlation, stock exchange, pandemic

Abstract

The present paper investigates the impact of the COVID-19 pandemic on the prices of the Italian stock exchange indices. During the pandemic, the global economy as well as financial markets suffered due to isolation and social distancing. Paired models of the dependence of the key indices of the Italian stock exchange on the number of patients, recovered and died were analysed using the least squares method. Further, various tests were performed to verify the feasibility of the Gauss-Markov conditions by applying Gretl tools: White Test for heteroskedasticity of residues, Durbin-Watson test for autocorrelation of residuals and normality of distribution of residuals. Statistically significant regression models were constructed that characterise the impact of morbidity and mortality in the Italian population during the COVID-19 pandemic on the price of 11 key stock exchange indices. Based on this, the study examined the COVID-19 pandemic period in the spring of 2020 in Italy, the results of which revealed a loss in stock returns and high volatility in stock returns during this period compared to the normal study period. The econometric model shows that COVID-19 had a negative impact on stock returns and a number of other stock market indicators in Italy. It was revealed that the number of deaths from coronavirus is statistically significantly interconnected with all key stock exchange indices.

Author Biographies

Nurkhodzha N. Akbulaev , Azerbaijan State University of Economics

Dr. Sci. (Econ.), Lecturer, Department of Economics and Business Administration; Researcher ID: B-1133-2018, Scopus Author ID: 57208781684; https://orcid.org/0000-0003-4271-9550 (45a, Abbas Sahhat St., Baku, 1007, Republic of Azerbaijan; e-mail: nurhoca@gmail.com).

Fariz S. Ahmadov , Azerbaijan State University of Economics

Dr. Sci. (Econ.), Associate Professor, Department of Economics and Business Administration; Scopus Author ID: 57208190601; https://orcid.org/0000-0003-2042-9018 (45a, Abbas Sahhat St., Baku, 1007, Republic of Azerbaijan; e-mail: ahmadovfs@hotmail.com).

Matanat R. Mammadova , Azerbaijan State University of Economics

Lecturer, Department of Economics and Business Administration; https://orcid.org/0000-0001-6366-577X (45a, Abbas Sahhat St., Baku, 1007, Republic of Azerbaijan; e-mail: mammadova_matanat@unec.edu.az).

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Published

28.12.2022

How to Cite

Akbulaev Н. Н., Ahmadov Ф. С. ., & Matanat R. Mammadova М. Р. . (2022). Analysis of the Impact of the COVID-19 Pandemic on Stock Exchange Indices in Italy. Economy of Regions, 18(4), 1276–1286. https://doi.org/10.17059/ekon.reg.2022-4-22

Issue

Section

Regional Finance