Title: Impact of the COVID-19 on MSCI world equity market index

Authors: Nurhan Toğuç

Addresses: School of Applied Disciplines, Esenyurt University, Istanbul, Turkey

Abstract: This article aims to analyse and measure the impact of the COVID-19 daily fatality cases, along with the BRENT prices and the financial volatility index (VIX) on the global economy, proxied by MSCI global market index (MXWO) both in the long run and the short-run, and discuss policy responses using the ARDL methodology. The study contributes to the literature as it is one of the first studies aimed at measuring the impact and direction of COVID-19 daily fatality cases on the global markets investigated through financial contagion. The ARDL model estimates indicated a significant and negative effect of the coronavirus crisis on MXWO. BRENT prices seem to have no direct effect on the global economy proxied by MXMO index, both in the long and the short term. But, it is likely to have an indirect effect through financial volatility as BRENT prices reacted sharply to the rise in financial volatility.

Keywords: COVID-19; autoregressive distributed lag; ARDL; MSCI world index; BRENT; volatility index; financial contagion.

DOI: 10.1504/WRSTSD.2023.127269

World Review of Science, Technology and Sustainable Development, 2023 Vol.19 No.1/2, pp.4 - 19

Received: 20 Jul 2020
Accepted: 08 Mar 2021
Published online: 30 Nov 2022 *