Purpose

The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period.

Design/methodology/approach

The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa.

Findings

Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period.

Practical implications

As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour.

Originality/value

While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

中文翻译：

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COVID-19 大流行对股市回报和波动的影响：来自选定新兴经济体的证据

目的

本文的目的是调查汇率波动、油价回报和 COVID-19 案例对选定新兴市场经济体的股市回报和波动的影响。此外，本研究比较了新兴经济体在 COVID-19 大流行期间与 COVID-19 之前和全球金融危机 (GFC) 时期的市场表现。

设计/方法/方法

作者应用套利定价理论来模拟基于风险的因素（汇率波动和 COVID-19 案例）与股票市场回报之间的风险回报关系。通过应用指数广义自回归条件异方差模型，该研究捕获了从股票市场到外汇市场的不对称波动溢出，反之亦然。

发现

调查结果显示，在冠状病毒大流行期间，汇率波动对巴西 (BOVESPA)、智利 (S&P CLX IPSA)、印度 (SENSEX)、墨西哥 (S&P BMV IPC) 和俄罗斯 (MOEX) 的市场回报产生了显着的负面影响。关于油价回报的影响，作者发现在研究中的所有经济体中，油价与股市回报之间存在正相关关系。与全球金融危机时期相比，俄罗斯、印度、巴西和秘鲁的市场回报在大流行期间似乎更加波动。

实际影响

由于汇率波动导致股市表现面临更高的风险和不确定性，央行努力维持对汇率销售的稳定作用对所考虑的经济体至关重要。还应强调提振投资者对股市的信心，为此，政府在减少疾病传播方面采取的政策行动是当务之急。

原创性/价值

尽管发达经济体已经出现了大量关于 COVID-19 时期股市表现的文献，但本研究通过探索新兴经济体在 COVID-19 大流行期间的股市表现来增加文献。与以往的文献不同，本研究考察了危机期间受影响最严重的新兴经济体股票和汇率市场之间的波动溢出效应。