Pandemic market dynamics: analyzing global price informativeness during COVID-19

Abstract

Purpose

This study aims to examine stock price synchronicity during the COVID-19 crisis using 32,452 firms from 61 countries. This paper explores the impact of government effectiveness on synchronicity while distinguishing between developed and emerging markets.

Design/methodology/approach

The research analysis employs ordinary OLS pooled regression analysis.

Findings

This paper presents worldwide evidence that stock price synchronicity was significantly higher during February and March 2020. This paper shows that synchronicity increased with the intensity of the crisis. In addition, the government's role reduced the COVID-19 impact on synchronicity, which was stronger in developed markets than in emerging markets.

Originality/value

The novelty of the study lies in documenting the impact of the COVID-19 pandemic on stock price synchronicity. The findings add to a deeper understanding of market behavior amid significant disruptive shocks.

Citation

Abdallah, A.A.-N., Abdallah, W., Bassam, Y., Rao, U. and Saad, M. (2024), "Pandemic market dynamics: analyzing global price informativeness during COVID-19", Journal of Financial Reporting and Accounting, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/JFRA-12-2023-0775