The Impact of COVID-19 Pandemic toward Asian Pacific Stock Markets during Year 2020: An Empirical Study of Logarithmic Returns and Duration Dependence Test Model

Abstract

COVID-19 pandemic had significant economic implications, not only the cost of managing people's health but also seriously affecting the global economy. The global stock markets plunged during the first three months of this pandemic. This research attempted to discuss upon movement of major Asian Pacific markets during the COVID-19 outbreak during January-December 2020. This empirical research identified and compared stock speculation/ bubble of seven major Asian Pacific stock markets by using econometric models.

The leading stock exchanges in the Asian Pacific region were chosen, which ranked by Statista. These countries are Japan, China, India, Australia, Korea, Singapore, and Thailand. Daily closing index prices were gathered from January to December 2020. This research utilized the logarithmic return model and the duration dependence test method to calculate the results. Microsoft Excel and Statistica programs were used for model creation and generating results.

The results show that Korean Stock Market was the best performer during the year 2020 followed by Japan, India, and China. They yielded positive logarithmic returns by the use of daily index prices. Whereas Australia, Thailand, and Singapore stock markets yielded negative logarithmic returns. Duration dependence test results show no evidence of rational speculative activities/bubbles in the stock markets of Japan, Korea, India, Australia, and Singapore. On the other hand, there was evidence of rational speculative bubbles in China and Thailand stock markets.