Source of Publication
Investment Management and Financial Innovations
Although the coronavirus pandemic hit Europe in the early days of 2020, European stock markets had signaled fluctuations in the days before. This paper assesses the observed volatility on European stock exchanges and searches for its sources during the first four months of 2020. To investigate the issue, a panel VAR model is adopted, and the generalized impulse response function and the variance decomposition methods are used. The estimations show that about 34% of the volatility in European stock markets is due to the Chinese stock market, while 7% is due to international uncertainty, as measured by VIX. The impact of pandemic cases and deaths on European stock markets is negligible, below 1%. This means that the European stock market faced two risk elements: the first is the transmission volatility from the Chinese stock market, and the second is the international uncertainty. The findings also support the view that COVID-19 is more like a systematic risk.
LLC CPC Business Perspectives
Coronavirus, Pandemic, Spillovers, Stock returns, Volatility
Creative Commons License
This work is licensed under a Creative Commons Attribution 4.0 International License.
Siriopoulos, Costas; Svingou, Argyro; and Dandu, Jagadish, "Lessons for Euro markets from the first wave of COVID-19" (2021). All Works. 4127.
Indexed in Scopus
Open Access Type
Gold: This publication is openly available in an open access journal/series