Abstract This paper attempts to explore the direct effects and spill-overs of COVID-19 on stock markets. Using conventional -tests and non-parametric Mann–Whitney tests, we empirically analyse daily return data from stock markets in the People’s Republic of China, Italy, South Korea, France, Spain, Germany, Japan and the United States of America. Our empirical results show that (i) COVID-19 has a negative but short-term impact on stock markets of affected countries and that (ii) the impact of COVID-19 on stock markets has bidirectional spill-over effects between Asian countries and European and American countries. However, there is no evidence that COVID-19 negatively affects these countries’ stock markets more than it does the global average. The findings contribute to the research on economic impact of the pandemic by providing empirical evidence that COVID-19 has spill-over effects on stock markets of other countries. The results also provide a basis for assessing trends in international stock markets when the situation is alleviated worldwide.

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COVID-19对股票市场的影响

摘要本文试图探讨COVID-19对股票市场的直接影响和溢出。使用常规检验和非参数曼恩·惠特尼检验，我们根据经验分析了来自中华人民共和国，意大利，韩国，法国，西班牙，德国，日本和美利坚合众国股票市场的每日收益数据。我们的经验结果表明：（i）COVID-19对受影响国家的股票市场具有负面但短期的影响；（ii）COVID-19对股票市场的影响具有亚洲国家与欧洲之间的双向溢出效应和美国国家。但是，没有证据表明COVID-19对这些国家股票市场的负面影响大于全球平均水平。这些发现通过提供经验证据表明COVID-19对其他国家的股票市场具有溢出效应，从而有助于对该流行病的经济影响进行研究。当全世界的情况减轻时，这些结果也为评估国际股票市场的趋势提供了基础。