This paper attempts to explore the direct effects and spill-overs of COVID-19 on stock markets. Using conventional t-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.

COVID-19; coronavirus disease; stock markets; spill-over effects

Qing He, Senior Research Fellow of IMI, China Financial Policy Research Center and School of Finance, Renmin University of China, Beijing, PR China.

Junyi Liu, Department of Economics, Soka University of America, California, USA.

Sizhu Wang, School of Finance, Renmin University of China, Beijing, PR China.

Jishuang Yu, School of Finance, Renmin University of China, Beijing, PR China.