This study examines the impact of the change in the Barro Misery Index (BMI) and the novel coronavirus (COVID-19) cases and deaths on the stock markets’ returns and volatility. Based on a sample of 76 different countries, we find that an increase in BMI adversely affects the stock returns and increases stock volatility. We also find that an increase in BMI coupled with an in crease in percentage cases of COVID-19 adversely affect stock returns and increases volatility. We find that the impacts of BMI on stock returns and volatility are driven by real GDP changes, unemployment rate, and long-term interest rate instead of inflation rates, especially for the developed countries. Our findings are consistent with Barro (1999), which indicates that the BMI represents a better measure relative to the original misery index in predicting the economic outcome, especially during the COVID-19 pandemic. We also find that the impacts of BMI components on stock returns and volatility for the developed countries are different from the emerging markets.

Do stock markets love misery? Evidence from the COVID-19

Rossi F;
2021-01-01

Abstract

This study examines the impact of the change in the Barro Misery Index (BMI) and the novel coronavirus (COVID-19) cases and deaths on the stock markets’ returns and volatility. Based on a sample of 76 different countries, we find that an increase in BMI adversely affects the stock returns and increases stock volatility. We also find that an increase in BMI coupled with an in crease in percentage cases of COVID-19 adversely affect stock returns and increases volatility. We find that the impacts of BMI on stock returns and volatility are driven by real GDP changes, unemployment rate, and long-term interest rate instead of inflation rates, especially for the developed countries. Our findings are consistent with Barro (1999), which indicates that the BMI represents a better measure relative to the original misery index in predicting the economic outcome, especially during the COVID-19 pandemic. We also find that the impacts of BMI components on stock returns and volatility for the developed countries are different from the emerging markets.
File in questo prodotto:
File Dimensione Formato  
Rossi Do stock.pdf

Accesso chiuso

Descrizione: articolo
Tipologia: Documento in Versione Editoriale
Licenza: Copyright Editore
Dimensione 365.37 kB
Formato Adobe PDF
365.37 kB Adobe PDF   Visualizza/Apri   Richiedi una copia
Rossi+Do+stock-Post_print.pdf

Open Access dal 07/01/2023

Tipologia: Bozza finale post-referaggio (post-print)
Licenza: Creative commons
Dimensione 787.03 kB
Formato Adobe PDF
787.03 kB Adobe PDF Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11368/3059363
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 32
  • ???jsp.display-item.citation.isi??? 24
social impact