Conference PaperPDF Available

The Impact of COVID-19 on Exchange Rate Volatility: An econophysics approach

November 2020

Conference: 6TH International Scientific-Business Conference on Leadership, Innovation, Management and Economics - LIMEN 2020
At: AUSTRIA

Authors:

Rui Teixeira Dias

ISG - Business & Economics School | ESCAD - IP Luso | ESCE - Instituto Politécnico de Setúbal

Hortense Santos

Polytechnic Institute of Setúbal

This trial aims to analyze the efficiency, in its weak form, between the exchange rates, US-RMB, US-EUR, US-JPY, US-MYR, US-PHP, US-SGD, US-THB, US-CHF, US-GBP, in the period from 1 July 2019 to 27 October 2020. To carry out this analysis different approaches were undertaken in order to assess whether: (i) the impact of the global pandemic has created long memories in international exchange markets? The results of the Detrended Fluctuation Analysis (DFA) show that US-THB (0.60), US-MYR (0.59), US-SGD (0.59) exchange rates have long memories, while US-GBP (0.56), US-EUR (0.53) exchange rates have smaller dimensions. The US-RMB (0.47), US-JPY (0.43), US-CHF (0.46), US-PHP (0.38) exchange rates show anti persistence, while the Detrended cross-correlation coefficient (pDCCA) results show 19 average correlation coefficients (≌ 0.333 → ≌ 0.666), 10 weak correlation coefficients (≌ 0.000 → ≌ 0.333), 7 strong trend cross-correlation coefficients (0.666 → ≌ 1.000). As a conclusion, we can see that the exchange rate pairs analyzed show some predictability, that is, there are levels of arbitrage that can be explored by investors, we can also see that the exchange rates analyzed present characteristics of diversification, due to the low autocorrelation among markets. However, it was not the objective of this study to analyze anomalous returns by investors without incurring additional risk.

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CONFERENCE

PROCEEDINGS

6TH INTERNATIONAL SCIENTIFIC-BUSINESS CONFERENCE

LEADERSHIP, INNOVATION, MANAGEMENT AND ECONOMICS:

INTEGRATED POLITICS OF RESEARCH

November 26, 2020

Online-Virtual

www.limen-conference.com

LIMEN 2020

SIXTH INTERNATIONAL SCIENTIFIC-BUSINESS CONFERENCE

LIMEN 2020

Leadership, Innovation, Management and Economics:

Integrated Politics of Research

CONFERENCE PROCEEDINGS

Online-Virtual

November 26, 2020

Sixth International Scientific-Business Conference LIMEN

Leadership, Innovation, Management and Economics: Integrated Politics of Research

ISSN 2683-6149

Conference Proceedings (part of LIMEN conference collection)

Editor:

Vuk BEVANDA, PhD, Associate Professor, Faculty of Social Sciences, Belgrade, Serbia

Scientific Committee:

1. Jasmina Starc, PhD, Full Time Professor, Dean, Faculty of Business and Management Sciences, Novo Mesto, Slovenia

2. Čedomir Ljubojević, PhD, Full Time Professor, Director, Modern Business School Belgrade, Serbia

3. Cvetko Smilevski, PhD, Full Time Professor, President of Teaching and Scientific Council, BAS Institute of Management Bitola,

Macedonia

4. Vlado Radić, PhD, Full Time Professor, Faculty of Business Economics and Entrepreneurship, Belgrade, Serbia

5. Kanita Imamović-Čizmić, PhD, assistant professor, Faculty of Law, University of Sarajevo, Bosnia and Herzegovina

6. Tatjana Cvetkovski, PhD, Full Time Professor, Ministry of Education, Science and Technological Development of Republic of

Serbia

7. Drago Pupavac, PhD, Professor, Polytechnic of Rijeka, Polytechnic „Nikola Tesla“ Gospić, Croatia

8. Ana Langović Milićević, PhD, Full Time Professor, Ministry of Education, Science and Technological Development of Republic of

Serbia, Faculty of Hotel Management and Tourism in Vrnjacka Banja, University of Kragujevac, Serbia

9. Snežana Kirin, PhD, Associate Professor, Innovation Centre of Mechanical Engineering Faculty in Belgrade, the Head of the Branch

Office in Novi Sad, Serbia

10. Mirjana Šekarić, PhD, Associate Professor, Business Faculty, Singidunum University, Belgrade, Serbia

11. Malči Grivec, PhD, Lecturer, Dean, Faculty of Business, Management and Informatics Novo Mesto, Slovenia

12. Bojan Krstić, PhD, Associate Professor, Faculty of Economics, University of Niš, Serbia

13. Lidija Stefanovska, PhD, Assistant Professor, Director, BAS Institute of Management Bitola, Macedonia

14. Duško Tomić, PhD, Full Time Professor, College of Security and Global Studies, American University in the Emirates

15. Saša Virijević Jovanović, PhD, Associate Professor, Faculty of Applied Management, Economics and Finance, Belgrade, Serbia

16. Srđan Tomić, PhD, Associate Professor, Faculty of Engineering Management, Belgrade, Serbia

17. Toni Soklevski, PhD, Assistant Professor, Business Academy Smilevski BAS, Skopje, Macedonia

18. Tatjana Ilić-Kosanović, PhD, Assistant Professor, Faculty of Engineering Management, Belgrade, Serbia

19. Aleksandara Brakus, PhD, Assistant Professor, Modern Business School, Belgrade, Serbia

20. Sonja Cindori, PhD, Assistant Professor, Department of Financial Law and Financial Science, Faculty of Law, University of Zagreb,

Croatia

21. Sergej Gričar, PhD, Lecturer, School of Business and Management Novo Mesto, Slovenia

22. Dragana Nešović, PhD, Assistant Professor, Faculty of Law, Security and Management “Konstantin Veliki”, Nis, University Union

“Nikola Tesla”, Belgrade, Serbia

23. Zoran Janevski, PhD, Assistant Professor, Institute of Economics – “Ss. Cyril and Methodius” University Skopje, North Macedonia

24. Slobodan Bracanović, PhD, Assistant Professor, Faculty of Economics, Priština, Kosovska Mitrovica, Serbia

25. Dragana Trifunović, PhD, Associate Professor, Faculty of Social Sciences, Belgrade, Serbia

26. Anton Vorina, PhD, Senior Lecturer, Vocational College, Celje, Slovenia

27. Ana Jurčić, PhD, Associate Professor, Modern College of Business & Science, Muscat, Oman

28. Denis Tomše, PhD, Assistant Professor, Faculty of Commercial and Business Sciences, Celje, Slovenia

29. Tatjana Boshkov, PhD, Assistant Professor, Faculty of Tourism and Business Logistics – Gevgelija, “Goce Delcev” University Stip,

North Macedonia

30. Filip Đoković, PhD, Assistant Professor, Business Faculty Valjevo, Singidunum University, Belgrade, Serbia

31. Biljana Petrevska, PhD, Associate Professor, “Iustinianus Primus School of Law”, University “Ss. Cyril and Methodius”, Skopje,

North Macedonia

32. Tanja Stanišić, PhD, Assistant Professor, Faculty of Hotel Management and Tourism in Vrnjacka Banja, University of Kragujevac,

Serbia

33. Milenko Đeletović, PhD, Associate Professor, Educons University, Belgrade, Serbia

34. Momčilo Živković, PhD, Full Professor, Faculty of Business Studies, Megatrend University, Belgrade, Serbia

35. Brankica Pažun, PhD, Associate Professor, Faculty of Engineering Management, Belgrade, Serbia

36. Zlatko Langović, PhD, Associate Professor, Faculty of Hotel Management and Tourism, Vrnjačka banja, Serbia

Organizational Committee:

Anton Vorina, PhD, Professor

Nikolina Vrcelj, PhD candidate

Nevena Bevanda, PhD student

Ivana Mirčević, BSc

Uroš Mirčević, Ing.

Goran Stevanović, BSc

Published by:

Association of Economists and Managers of the Balkans,

Ustanicka 179/2 St. 11000 Belgrade, Serbia

office@udekom.org.rs

+381 62 8125 779

Printed by: SKRIPTA International, Belgrade

Belgrade, 2020

ISBN 978-86-80194-39-4

ISSN 2683-6149

DOI: https://doi.org/10.31410/LIMEN.2020

Disclaimer: The author(s) of each paper appearing in this publication is/are solely

responsible for the content thereof; the findings, interpretations and conclusions

expressed in the papers are those of the authors and do not reflect the view of the

editor, reviewers, scientific committee members, the publisher, conference partners

or anyone else involved in creating, producing or delivering this publication.

This work is licensed under a Creative Commons Attribution-

NonCommercial 4.0 International License.

CIP - Katalogizacija u publikaciji

Narodna biblioteka Srbije, Beograd

005(082)

336(082)

001.895(082)

330(082)

INTERNATIONAL Scientific-Business Conference LIMEN

Leadership, Innovation, Management and Economics: Integrated

Politics of Research (6; 2020)

Conference Proceedings / Sixth International Scientific-Business

Conference LIMEN Leadership, Innovation, Management and

Economics: Integrated Politics of Research, Online-virtual November

26, 2020 ; [organizer Association of Economists and Managers of the

Balkans [et al.] ; editor Vuk Bevanda]. - Belgrade : Association of

Economists and Managers of the Balkans, 2021 (Belgrade : Skripta

International). - XIV, 409 str. : graf. prikazi, tabele ; 30 cm. -

(International Scientific Business Conference LIMEN Leadership,

Innovation, Management, Economics: Integrated Politics of Research,

ISSN 2683-6149)

Tiraž 100. - Napomene i bibliografske reference uz tekst. -

Bibliografija uz svaki rad. - Registri.

ISBN 978-86-80194-39-4

a) Menadžment -- Zbornici b) Finansije -- Zbornici v) Inovacije --

Zbornici g) Ekonomija -- Zbornici d) Marketing -- Zbornici

COBISS.SR-ID 42129673

 
 
 
CONTENTS 
 
INDEX OF AUTHORS ....................................................................................................................VII 
INDEX................................................................................................................................................. IX 
PREFACE............................................................................................................................................XI 
AUTHORS’ AFFILIATION...........................................................................................................XIII 
THE IMPACT OF COVID-19 ON EUROPEAN FINANCIAL MARKETS:                                    
AN EMPIRICAL ANALYSIS ............................................................................................................. 1 
Margarida Bagão 
Rui Dias 
Paula Heliodoro 
Paulo Alexandre 
THE IMPACT OF COVID-19 ON THE SECURITIES AND EQUITY MARKETS                           
OF PORTUGAL AND EDP: AN ECONOPHYSICS APPROACH .............................................. 13 
Maria Manuel 
Paula Heliodoro 
Rui Dias 
Paulo Alexandre 
STOCK MARKET EFFICIENCY IN AFRICA: EVIDENCE FROM                                    
RANDOM WALK HYPOTHESIS.................................................................................................... 25 
Rui Dias 
Hortense Santos 
THE IMPACT OF COVID-19 ON EXCHANGE RATE VOLATILITY:                                           
AN ECONOPHYSICS APPROACH ................................................................................................ 39 
Rui Dias 
Hortense Santos 
THE IMPACT OF THE COVID-19 PANDEMIC ON SUPPLY CHAINS IN THE 
AUTOMOTIVE INDUSTRY............................................................................................................. 51 
Goran Milovanovic  
Tamara Stankovic 
RISK MANAGEMENT CHALLENGES IN THE COVID-19 PANDEMIC................................ 57 
Vlado Radić 
Nikola Radić 
WORKPLACE SAFETY CHALLENGES OF COVID-19 PANDEMICS:                                    
CASE OF SLOVAKIA ....................................................................................................................... 65 
Silvia Capíková 
Mária Nováková 
ANALYSIS OF THE IMPACT OF OCCUPATIONAL HEALTH                                               
AND SAFETY RISKS ON THE SUSTAINABILITY OF ROMANIAN                
ORGANIZATIONS UNDER THE SARS-COV-2 PANDEMIC .................................................... 75 
Mihaela Cornelia Sandu 
Valentin Mihai Leoveanu 
THE CORONAVIRUS PANDEMIC AND ITS IMPACT ON BIHOR                              
COUNTY EXPORT ORIENTED COMPANIES ............................................................................ 85 
Adrian Negrea 
Ciprian Beniamin Benea 
Csaba Bekesi 
ONLINE IDENTITY IN A PANDEMIC – FROM INNOVATION PRACTICE TO 
COMPETITVE ADVANTAGE THROUGH THE LEARNING PROCESS ............................... 91 
Michaela Mihaylova 
THE DENTAL MEDICINE SECTOR IN THE AGE OF THE                                          
COVID-19 PANDEMIC – RECOVERY BETWEEN RISKS AND CHALLENGES ................ 101 
Andra-Teodora Porumb 
Adina Săcara-Oniţa 
Cristian Porumb 

 
IV   
 
LIMEN 2020 
Conference Proceedings 
DEVELOPMENT OF CEFTA 2006 – MINI SCHENGEN -ECONOMICS                              
VERSUS POLITICS ......................................................................................................................... 113 
Dijana Grahovac 
Senad Softić 
SMART REGIONAL SPECIALIZATION - OPPORTUNITY OR OXYMORON                             
OF THE DEVELOPMENT OF SMALL AND MEDIUM ENTERPRISES ............................... 121 
Desislava Botseva 
Georgi Tsolov 
Nikola Tanakov 
CAUSES OF DIFFERENTIATED DEVELOPMENT OF REGIONAL STRUCTURES                   
IN THE SLOVAK REPUBLIC ....................................................................................................... 133 
Katarína Kráľová 
Jana Sochuľáková 
Dagmar Petrušová 
INFORMATION AND CONSULTANCY CENTRES IN SLOVAKIA –                          
PROMOTING PARTNERSHIP IN COHESION POLICY ......................................................... 141 
Igor Jašurek 
A REVIEW OF PLATFORM CORPORATE GOVERNANCE                                                       
IN THE DIGITAL ECONOMY AGE ............................................................................................ 151 
Jianxin Ge 
Cong Li 
ADVANTAGES AND DISADVANTAGES OF QR CODE IN                                                       
TAX INVOICES IN PORTUGAL .................................................................................................. 167 
Anabela Marques 
Leonilde Reis 
EXPANSION OF E-PAYMENT ..................................................................................................... 175 
Vladimir Mladenović 
Milica Krulj-Mladenović 
Danilo Obradović 
MULTIDISCIPLINARY SUSTAINABILITY - THE MULTIPLE PERSPECTIVES OF A 
SOCIAL ORGANIZATION ............................................................................................................ 179 
Leonilde Reis 
Clara Silveira 
SOCIAL ENGINEERING AND INFORMATION AND COMMUNICATION 
TECHNOLOGIES ............................................................................................................................ 185 
António Lopes 
Leonilde Reis 
GROWTH AND DEVELOPMENT OF THE COMPANY AS A FACTOR                                    
IN IMPROVING BUSINESS EFFICIENCY ................................................................................. 191 
Vuk Bevanda 
Aleksandra Živaljević 
Biljana Pejović 
CHALLENGES AND PROBLEMS THAT FAMILY BUSINESSES FACE ............................. 201 
Lidija Stefanovska 
Taip Jakupi 
SOME FACTORS OF CONTEMPORARY FINANCIAL BUSINESS OPERATIONS ........... 207 
Slobodan N. Bracanović 
DETERMINING FACTORS OF INNOVATIVE PERFORMANCE:                                  
MULTIPLE CASE STUDY ............................................................................................................. 215 
Beatriz Corchuelo Martínez-Azúa 
Pedro E. López-Salazar 
Celia Sama-Berrocal 
SITUATIONAL LEADERSHIP AND ORGANIZATIONAL BEHAVIOR ............................... 223 
Federico de Andreis 
Federico Leopardi 

 
V 
 
CONTENTS 
INNOVATIVE DESIGN CONCEPTS FOR QUALITY HPO ORGANIZATIONS .................. 231 
Srdjan Tomic 
Jelena Rajković 
A SYSTEMATIC REVIEW: SOFTWARE SOLUTIONS FOR                                                 
TIME-MANAGEMENT IN REMOTE WORK SETTINGS ....................................................... 239 
Ivan Gjorgjievski 
Daniela Karadakov 
MODEL FOR ASSESSMENT OF THE COMPETENCE OF                                         
PRODUCTION MANAGERS ......................................................................................................... 245 
Krasimira Dimitrova 
Tanya Panayotova 
Neli Veleva 
REGIONAL HUMAN CAPITAL MANAGEMENT – ASPECTS OF INTERACTION              
WITH THE ECONOMIC DEVELOPMENT OF THE TERRITORY ....................................... 253 
Georgi Nikolov 
Elka Vasileva 
Veselina Lyubomirova 
IMPLEMENTATION OF MANAGERIAL INNOVATIONS IN RUSSIA:                      
DECISIONS’ BACKGROUND, MAJOR AREAS AND FREQUENCY .................................... 261 
Natalia Guseva 
Yaroslav Sovetkin 
(AB)USE OF GOLDEN PARACHUTES IN STATE-OWNED COMPANIES                              
IN THE FORMER YUGOSLAVIA ................................................................................................ 271 
Nebojša R. Mitić 
Slaviša M. Đorđević 
FORMAL AND NON-FORMAL EDUCATION IMPACT ON                                
DEVELOPING MARKETING MANAGER COMPETENCE IN THE DIGITAL AGE ......... 279 
Gordana Tasevska 
Dijana Ivanovska Przo 
SOCIALLY RESPONSIBLE MARKETING IN THE "NEW NORMAL" ............................... 285 
Marina Guzovski 
IMPACT OF METAPROGRAMS ON THE PURCHASE                                                   
DECISION-MAKING PROCESS ................................................................................................... 293 
Biljana Galovska 
Maja Kochoska 
THE IMPORTANCE OF BUSINESS CULTURE FOR INTERNATIONAL BUSINESS ....... 301 
Dijana Grahovac 
Biljana Rađenović-Kozić 
J. A. SCHUMPETER, A THEORIST OF INNOVATION AND A HISTORIAN OF 
ECONOMIC SCIENCE ................................................................................................................... 315 
Petr Jiříček 
Zdeňka Dostálová 
CHALLENGES IN DEVELOPMENT OF SMART CITIES IN WESTERN BALKANS ........ 323 
Vladimir Tomašević 
Luka Latinović 
ROMANIA: THE EFFICIENCY AND PERSPECTIVE FOR TRANSPORT                                   
OF PASSENGERS ON RAILWAYS .............................................................................................. 329 
Clara Elena Muț 
Ciprian Beniamin Benea 
Adrian Negrea 
Săcară-Onita Adina 
Catarig Andra 
  

 
VI   
 
LIMEN 2020 
Conference Proceedings 
FINANCIAL MANAGEMENT ELEMENTS SPECIFIC TO INVESTMENTS              
APPLICABLE IN EDUCATIONAL SYSTEMS ........................................................................... 337 
Daniela Alice Luta (Manolescu)  
Adrian Ioana 
Daniela Tufeanu 
Daniela Ionela Juganaru 
Bianca Cezarina Ene 
FINANCIAL MANAGEMENT ELEMENTS SPECIFIC TO THE EVALUATION OF 
RESEARCH-DEVELOPMENT-INNOVATION (RDI) ACTIVITIES ....................................... 343 
Bianca Cezarina Ene 
Adrian Ioana 
Daniela Tufeanu 
Daniela Ionela Juganaru 
Daniela Alice Luta (Manolescu)  
LIBRARY MANAGEMENT SYSTEM: HOW TO AUTOMATE AND                                        
PUT A SMALL LIBRARY ONLINE ............................................................................................. 349 
Tiago Lourenço 
Clara Silveira 
QUANTITATIVE ANALYSIS OF DOCTORAL DISSERTATIONS                                             
IN SERBIA AT THE END OF 2019 ON THE TOPIC ARTIFICIAL INTELLIGENCE ......... 357 
Olga Mirković Maksimović 
THE FUNDAMENTAL FUNCTIONS OF PUBLIC SECTOR ORGANIZATION                     
ON THE EXAMPLE OF SUBOTICA LOCAL SELF-GOVERNMENT ................................... 363 
Slavko Tomašković 
Julka Sremac 
DANGEROUS LIAISONS: CORRUPTION AND MONEY LAUNDERING IN 
CONTEMPORARY SOCIETY....................................................................................................... 371 
Georgi Petrunov 
INVESTIGATION OF PLATE WASTE IN UNIVERSITY REFECTORY .............................. 379 
Melisa Ozbiltekin-Pala 
Gülmüş Börühan 
AGRICULTURAL EXTENSION SERVICE IN SERBIA –  ATTITUDES OF FARMERS .... 389 
Marija Nikolić 
Tamara Paunović 
Milena B. Stevović 
SUSTAINABLE VILLAGES ........................................................................................................... 399 
Nada Kosanovic 
Suncica Vjestica 
 

VII

INDEX OF AUTHORS

Nikola Radić, 57

Adina Săcara-Oniţa, 101

Georgi Nikolov, 253

Nikola Tanakov, 121

Adrian Ioana, 337, 343

Georgi Petrunov, 371

Adrian Negrea, 85, 329

Georgi Tsolov, 121

Aleksandra Živaljević, 191

Goran Milovanovic, 51

Olga Mirković Maksimović,

Anabela Marques, 167

Gordana Tasevska, 279

357

Andra-Teodora Porumb, 101

Gülmüş Börühan, 379

António Lopes, 185

Paula Heliodoro, 1, 13

Hortense Santos, 25, 39

Paulo Alexandre, 1, 13

Beatriz Corchuelo Martínez

Pedro E. López-Salazar, 215

Azúa, 215

Petr Jiříček, 315

Bianca Cezarina Ene, 337, 343

Igor Jašurek, 141

Biljana Galovska, 293

Ivan Gjorgjievski, 239

Biljana Pejović, 191

Rui Dias, 1, 13, 25, 39

Biljana Rađenović-Kozić, 301

Jana Sochuľáková, 133

Jelena Rajković, 231

Săcară-Onita Adina, 329

Catarig Andra, 329

Jianxin Ge, 151

Senad Softić, 113

Celia Sama-Berrocal, 215

Julka Sremac, 363

Silvia Capíková, 65

Ciprian Beniamin Benea, 85,

Slaviša M. Đorđević, 271

329

Slavko Tomašković, 363

Clara Elena Muț, 329

Katarína Kráľová, 133

Slobodan N. Bracanović, 207

Clara Silveira, 179, 349

Krasimira Dimitrova, 245

Srdjan Tomic, 231

Cong Li, 151

Suncica Vjestica, 399

Cristian Porumb, 101

Csaba Bekesi, 85

Leonilde Reis, 167, 179, 185

Lidija Stefanovska, 201

Taip Jakupi, 201

Luka Latinović, 323

Tamara Paunović, 389

Dagmar Petrušová, 133

Tamara Stankovic, 51

Daniela Alice Luta

Tanya Panayotova, 245

(Manolescu), 337, 343

Maja Kochoska, 293

Tiago Lourenço, 349

Daniela Ionela Juganaru, 337,

Margarida Bagão, 1

343

Maria Manuel, 13

Daniela Karadakov, 239

Mária Nováková, 65

Valentin Mihai Leoveanu, 75

Daniela Tufeanu, 337, 343

Marija Nikolić, 389

Veselina Lyubomirova, 253

Danilo Obradović, 175

Marina Guzovski, 285

Vladimir Mladenović, 175

Desislava Botseva, 121

Melisa Ozbiltekin-Pala, 379

Vladimir Tomašević, 323

Dijana Grahovac, 113, 301

Michaela Mihaylova, 91

Vlado Radić, 57

Dijana Ivanovska Przo, 279

Mihaela Cornelia Sandu, 75

Vuk Bevanda, 191

Milena B. Stevović, 389

Milica Krulj-Mladenović, 175

Elka Vasileva, 253

Yaroslav Sovetkin, 261

Nada Kosanovic, 399

Federico de Andreis, 223

Natalia Guseva, 261

Zdeňka Dostálová

Federico Leopardi, 223

Nebojša R. Mitić, 271

Neli Veleva, 245

INDEX

Dental tourism, 102

Improving the quality of

(Ab)use, 271

Development policy, 399

work, 389

Africa stock markets, 25

Development, 191, 343

Information and

Agent, 141

Digital economy, 151

communication technologies,

Agile, 349

Digital marketing, 279

179, 185

Agri-food industry, 215

Doctoral dissertations, 357

Information security, 185

Antitakeover defences, 271

Information systems, 179, 185

Apple, 175

Infrastructure, 323

Approach, 167

E-business, 57

Innovation theory, 315

Arbitration, 39

Economics, 113

Innovation, 91, 121. 167, 343

Artificial intelligence, 357

Educational systems, 337

Innovative performance, 215

Automotive industry, 51, 57

Efficiency, 39

Integrated territorial strategy,

Aviation, 57

Enterprises, 85

253

Epidemic, 1

International business, 301

Exchange rates, 39

Internet, 175

Bank, 175

Extension service, 389

Investments, 337

Business sustainability, 75

External trade, 113

Invoice, 167

Business, 191

Extremadura, 215

Buying, 293

J. A. Schumpeter, 315

Factors, 191

Capital, 207

Farmers, 389

Card, 175

Finance, 207

Key aspects of managerial

CEFTA 2006, 113

Financial integration, 13

innovations, 261

Ceremonialism, 141

Financial management, 337,343

Challenges, 323

Food Waste, 379

Company, 191

Foreign trade, 85

Labour law, 65

Competence, 279

Land transport, 329

Competency assessment

Leadership, 223

model, 245

Global economic relations, 301

Learning, 91

Competency assessment, 245

Globalization, 231

Library management, 349

Competition, 231

Golden parachutes, 271

Local communities, 399

Competitive advantage, 91

Growth, 191

Local Self-Government

Consumer behavior, 293

Subotica, 363

Coronavirus, 85

Local self-government, 399

Corruption, 371

Health law, 65

Long memories. 13

Countries of Western Balkan,

Historical approach, 315

113

(HPO) organization, 231

Covid-19 Coronavirus, 1

Human capital, 253

Main indicators, 245

COVID-19 pandemic, 102

Management innovations, 261

Covid-19, 13, 39, 51

Management, 201, 203

Crisis management, 102

ICC, 141

Manager, 279

Implementation of managerial

Managerial innovations

innovations, 261

process, 261

Decentralization governance,

Implementation process, 261

Managers. 207

151

Importance of different business

Market, 191, 207, 231

Delphi method, 245

cultures and values, 301

Marketing communication, 285

Dental medicine, 102

Mass Consumption, 379

LIMEN 2020

Conference Proceedings

Mechanisms, 207

Status, 399

Meta-programs, 293

QR-code, 167

Stock markets, 1

Mini Schengen, 113

Quality, 231

Strategies, 207

Money laundering, 371

Strategy for the development

Multinational companies, 261

of artificial intelligence, 357

Railway transport, 329

Supply chain, 27

Random walk, 25

Supply chains, 51

”New normal”, 285

Region, 133

Sustainability, 179

Regional competitiveness, 121

Sustainable future, 329

Regional disparities, 133

Sustainable village, 399

Observation, 379

Regional specialization, 121

System of indicators, 245

Observational equivalence, 141

Regional structure, 133

Occupational health and

Regular polarization, 133

safety risks, 75

Remote work, 239

Time-management, 239

Online identity, 91

Research, 343

Tourism, 57

Organization, 363

Responsible behaviour, 285

Organizational behaviour, 223

Risk, 102

Russian companies, 261

Uncertainty costs, 141

Universities in Serbia, 357

Pandemic, 91

Urban development, 323

Planning regions, 253

Safety leadership, 65

User story, 349

Platform corporate, 151

SARS CoV-2 pandemic, 75

Platform governance, 151

Secondary indicators, 245

Policy, 207

Smart cities, 323

Web programming, 349

Politically exposed persons, 371

Smart specialization, 121

Western Balkans, 323

Politics, 113

SMEs, 121

Working remotely, 75

Portfolio diversification, 13, 25,

Social engineering, 185

Social responsibility, 285

Preventive measures, 271

Software development, 179

Principal, 141

Software solution, 239

Production levels, 51

Specifics, 201

Public sector, 363

Standpoints, 389

PREFACE

Organizing is an evolutionary phenomenon, distinctive because of laws of existence and

maintaining all structures in all processes of their functioning. As such, it is a civilizational

phenomenon also that occurs as a component of human, individual and social activities and as

a factor in the overall development of man and society. On the other hand, as a deliberate

human activity, organizing involves seeking solutions to problems that occur on the way to

achieving specific goals. No goal can be achieved without appropriate or necessary, or at least

minimal organization of conditions, factors, and processes needed for goal achievement.

However, the new era requires new types of leaders and managers, and new forms of

organization; demands those who are willing and able to lead the company/corporation/state,

in a distinct competitive environment, with all the good and bad sides brought by the

globalization of world economy.

Association of Economists and Managers of the Balkans headquartered in Belgrade – Serbia

along with the partner institutions, namely the Faculty of Engineering Management - Belgrade,

Serbia; Modern Business School - Belgrade, Serbia; the University of Novo Mesto, Faculty of

Business and Management Sciences, Slovenia; the University of Novo Mesto, Faculty of

Economics and Informatics, Slovenia; Business Academy Smilevski - BAS, Skopje, North

Macedonia; and BAS Institute of Management, Bitola, North Macedonia organized 6th

International Scientific-Business Conference titled: Leadership, Innovation, Management and

Economics: Integrated Politics of Research – LIMEN 2020 on November 26, 2020. The

conference was held online/virtually due to the COVID-19 pandemic.

Bearing in mind the challenges of a dynamic engagement in contemporary organizations, it is

clear that within the analysis of these important subjects should be applied interdisciplinary

approach. For this reason, the main theme of the conference LIMEN 2020 was processed

through the following key topics:

• Leaders and Leadership

• Entrepreneurship

• Innovation

• Creativity

• Management of Small and Medium-

sized Enterprises

• Contemporary Strategic Management

• Financial Management and Banking

• Marketing Management

• Project Management

• GREEN Management

• Natural Resource Management

• Quality Management

• Management of New Technologies

• Management Information Systems

• Education Management

• Intercultural Management

• Public Sector Management

• Human Resources Management

• Organizational Behavior

• Business Ethics

• Macroeconomics

• Microeconomics

• Finance

• Marketing

• Labour Law

• Business Law

The aim of this year’s conference is also achieved – bring together the academic community

of the Balkans region and other countries and publication of their papers with the purpose of

popularization of science and their personal and collective affirmation. The unique program

combined presentation of the latest scientific developments in these areas, interactive

discussions and other forms of interpersonal exchange of experiences.

XII

LIMEN 2020

Conference Proceedings

Within publications from LIMEN 2020 conference:

• 13 double peer-reviewed papers have been published in the Selected Papers -

International Scientific-Business Conference LIMEN 2020,

• 47 double peer-reviewed papers have been published in the Conference Proceedings -

International Scientific-Business Conference LIMEN 2020,

• 91 abstracts have been published in the Book of Abstracts - International Scientific-

Business Conference LIMEN 2020.

LIMEN 2020 publications have nearly 700 pages. All full papers have been scanned with the

Crosscheck (powered by Turnitin) and have Orcid iD integration.

Participation in the conference took 159 researchers with the paper representing 26 different

countries (Albania, Austria, Bosnia and Herzegovina, Brazil, Bulgaria, China, Croatia, Czech

Republic, Germany, Hungary, India, Italy, Netherlands, North Macedonia, Oman, Poland,

Portugal, Romania, Russia, Serbia, Slovakia, Slovenia, Spain, Turkey, Ukraine and United

Arab Emirates), different universities, eminent faculties, scientific institutes, colleges, etc

XIII

AUTHORS’ AFFILIATION

Albania

 University of Tirana, Faculty of Social Sciences,

Bulevardi "Gjergj Fishta", Tirana

Austria

 University of Applied Sciences Kufstein Tirol,

Finance, Accounting & Auditing, Andreas Hofer-

Str. 7, 6330 Kufstein

Bosnia and Herzegovina

 Central Bank of Bosnia and Herzegovina

 Faculty of Economics in Sarajevo

 University of Business Studies, Banja Luka

Brazil

 Santa Úrsula University, Rio de Janeiro

Bulgaria

 Technical University of Varna, Faculty of

Mechanical Engineering, Department of

Industrial Management, Studentska str. 1, Varna

 University of National and World Economy,

Student Town, 1170 Sofia

 VUZF University, Gusla 1 str., 1618 Sofia

China

 Central University of Finance and Economics,

100081 Beijing

 Wuhan University, 299 Luojia Hill, Wuhan

Croatia

 Faculty of Tourism and Hospitality Management,

Primorska 42, p.p. 97, 51410 Opatija

 Libertas International University, Trg J. F.

Kennedy 6b, Zagreb

Czech Republic

 College of Polytechnics Jihlava, Tolsteho 16,

58601 Jihlava

 Faculty of Forestry and Wood Technology,

Department of Landscape Management, Brno

 Jan Evangelista Purkyně University, Faculty of

Social and Economic Studies, Department of

Economy and Management, 400 96 Ústí nad

Labem

 Masaryk University Brno, Faculty of Law, Veveří

158/70, 611 80 Brno

Germany

 MGW Geld- und Wertpapiervermittlung,

Raiffeisenallee 16, 82041 Oberhaching

Hungary

 Budapest Business School, Institute of

Quantitative Methods, Alkotmány utca 9-11. H -

1054 Budapest

 Budapest Business School, More Innovation

Talent Orientation Research Group, Alkotmány

utca 9-11, H - 1054 Budapest

 University of Pécs, Faculty of Business and

Economics, Rákóczi Str. 80, 7622 Pécs

India

 Amity University Noida, Amity School of

Communication

Italy

 Telematic University Giustino Fortunato, V.

Raffaele Delcogliano n 12, 82100 Benevento

 University For Foreigners "Dante Alighieri", Via

del Torrione 95, Reggio Calabria

 University of Ferrara, Via Voltapaletto 11, 44100

Ferrara

Netherlands

 University of Groningen, Groningen

North Macedonia

 BAS Institute of Management Bitola, Herceg

Novi 6, Bitola

 Business Academy Smilevski – BAS, Jane

Sandanski 111/2, Skopje

Oman

 Faculty of Business & Economics, Modern

College of Business & Science, Muscat

Poland

 Cracow University of Economics, Cracow

 Poznań University of Economics and Business, al.

Niepodległości 10, 61-875 Poznań

Portugal

 Escola Superior de Ciências Empresariais -

Instituto Politécnico de Setúbal, Setúbal

 Instituto Politécnico da Guarda - ESTG, Avenida

Dr. Francisco Sá Carneiro, 50; 6300-559 Guarda

 Lusófona University, CIPES

 University of Évora, CEFAGE-UE, IIFA

Romania

 Babes-Bolyai University of Cluj-Napoca, Faculty

of Business

 Babes-Bolyai University of Cluj-Napoca, Faculty

of Economics and Business Administration,

XIV

LIMEN 2020

Conference Proceedings

Teodor Mihali Street, no.58-60, 400591 Cluj-

Napoca

 Bihor County Employment Agency (AJOFM),

Oradea

 SC Interregional SRL - (private railway transport

operator)

 University of Bucharest, 4-12, Blvd. Regina

Elisabeta, etaj 1, sector 3, Bucharest

 University of Oradea, Faculty of Economic

Sciences, Department of International Business, 1

Universităţii Street, Oradea, 410087 Bihor

 University of Oradea, Faculty of Law

 University of Oradea, Faculty of Medicine and

Pharmacy, Department of Dental Medicine, 10 - 1

Decembrie Square, Oradea, 410073 Bihor

 University Politehnica of Bucharest, Spl.

Independentei 313 Bucharest

 Victor Babes University of Medicine and

Pharmacy Timisoara, Piata Eftimie Murgu 2,

300041 Timisoara

Russia

 National Research University Higher School of

Economics, 20 Myasnitskaya ulitsa, 101000

Moscow

Serbia

 Academy of Vocational Studies South Serbia-

Department of Business Studies Blace, 7

Partizanska Street, Leskovac

 ALFA BK University, Belgrade

 Center for Strategic National Security Research,

Cesna B

 Faculty for Applied Ecology – Futura, Pozeska

83a, 11000 Belgrade

 Faculty of Business Economics and

Entrepreneurship, Mitropolita Petra 8, Belgrade

 Faculty of Economics in Priština, Kosovska

Mitrovica

 Faculty of Economics, Trg kralja Aleksandra

Ujedinitelja 11, Niš

 Faculty of Social Sciences, Bulevar umetnosti 2a,

Belgrade

 Prima Lupus doo Subotica

 Subotica City Administration, Secretariat for

General Administration and Common Affairs -

Tavankut Local Office

 Union University, Faculty of Law, Belgrade

 University „Union - Nikola Tesla“, School of

Engineering Management, Bulevar vojvode

Misica 43, 11000 Belgrade

 University of Belgrade, Faculty of Agriculture,

Nemanjina 6, 11080 Belgrade

 University of Belgrade, Faculty of Organizational

Sciences, Jove Ilića 154, Belgrade

 Videobolt, Bulevar Mihajla Pupina 10a, Belgrade

Slovakia

 Alexander Dubček University in Trenčín, Faculty

of Social and Economic Relations, Študentská 3,

91150 Trenčín

 Comenius University in Bratislava, Faculty of

Law, Šafárikovo nám. č. 6, 810 00 Bratislava

 Comenius University in Bratislava, Faculty of

Medicine, Špitálska 24, 813 72 Bratislava

 Matej Bel University, Faculty of Economics,

Tajovského 10 975 90 Banská Bystrica

 Pan-European University in Bratislava, Faculty of

Economics and Business, Tematínska 10, 851 05

Bratislava

 Technical University of Košice, Faculty of

Economics, Department of Finance, Nemcovej

32, 042 00 Košice

 University of Economics in Bartislava Faculty of

National Economy, Dolnozemská cesta 1 852 35

Bartislava

 University of Economics in Bratislava, Faculty of

Commerce, Department of International Trade,

Dolnozemská cesta 1, 852 35 Bratislava

Slovenia

 University of Maribor, Insitute of Media

communications, FERI, Koroška cesta 46, 2000

Maribor

 University of Novo Mesto, Faculty of Business

and Management Sciences, Na Loko 2, 8000

Novo mesto

 University of Novo mesto, Faculty of Economics

and Informatics, Na Loko 2, 8000 Novo mesto

Spain

 Universidad Loyola, C/ Energía Solar, 1. 41014

Sevilla, Andaluzia

 University of Extremadura

Turkey

 Burdur Mehmet Akif Ersoy University, Adem

Tolunay Yerleşkesi, 15300

 Galatasaray University, Çırağan Cad., Ortaköy,

34349

 Yaşar University

Ukraine

 Kyiv National Economic University named after

Vadym Hetman, Management Department

United Arab Emirates

 Higher Colleges of Technology, Department of

Business

THE IMPACT OF COVID-19 ON EUROPEAN FINANCIAL MARKETS:

AN EMPIRICAL ANALYSIS

Margarida Bagão

Rui Dias

Paula Heliodoro

Paulo Alexandre

DOI: https://doi.org/10.31410/LIMEN.2020.1

Abstract: The fast spread of coronavirus (COVID-19) had negative impacts on financial

markets worldwide. It created uncertainty and a lack of confidence, causing unprecedented

levels of risk, causing sharp losses to investors in a very short period. In view of these events,

this essay aims to investigate the relationship between Covid-19 (confirmed cases and deaths),

and the stock market indexes of Greece (ATG), France (CAC40), Germany (DAX 30), United

Kingdom (FTSE 100), Italy (FTSE MID), Spain (IBEX 35), Ireland (ISEQ), and Portugal (PSI

20), from December 31st, 2019 to July 23rd, 2020. In order to achieve such an analysis, we

want to validate if: the increase in cases and deaths resulting from Covid-19 have any

connection with the financial markets under analysis? If so, do these connections cause shocks

in European financial markets? The results suggest structure breaks, mostly, in March 2020.

Covid-19 data (confirmed cases) integrate with the Covid-19 data series (deaths), with the

Spanish market (IBEX 35), Greece (ATG), and Italy (FTSE MID). However, the Covid-19 data

series (deaths), is synchronized with the Covid-19 data (confirmed cases), with the markets of

Germany (DAX 30), France (CAC 40), Ireland (ISEQ), Italy ( FTSE MID), United Kingdom

(FTSE 100) and Portugal (PSI 20), just does not synchronize with the Greek market (ATG).

We can easily see that the Covid-19 data series (deaths) has a major impact on Europe's

financial markets. The results of the VAR Granger Causality / Block Exogeneity Wald Tests

model suggest 2 bidirectional causal relationships between confirmed cases and deaths from

the Covid-19 virus. However, there were no shocks between Covid-19 data (confirmed cases

and deaths) and the financial markets under analysis. As a final discussion, we consider that

investors should avoid investments in the stock exchange, at least while this pandemic lasts,

and rebalance their portfolios in hedging and/or sovereign debt assets, to mitigate risk and

improve the efficiency of their portfolios.

Keywords: Covid-19 Coronavirus, Stock markets, Epidemic.

1. INTRODUCTION

oronavirus Covid-19 is a type of outbreak that first appeared in December 2019 in the

city of Wuhan, Hubei province, China. It was declared a pandemic by the World Health

Organization (WHO) on March 12, 2020. According to the World Health Organization,

Escola Superior de Ciências Empreasarias, Instituto Politécnico de Setubal, Portugal

Escola Superior de Ciências Empreasarias, Instituto Politécnico de Setubal & CEFAGE, Universidade de

Évora, Portugal

Escola Superior de Ciências Empreasarias, Instituto Politécnico de Setubal, Portugal

LIMEN 2020

Conference Proceedings

the number of people infected by Covid-19 worldwide, since the beginning of the pandemic,

has already exceeded, on 23rd July 2020, 15.3 million (cases), and 627,000 deaths.

The Covid-19 pandemic negatively affects the global economy, as well as social and cultural

life on a global scale. Rating agencies such as Moody’s and Standard & Poors have restricted

China's growth forecast for 2020. In line with all these negative effects, it seems inevitable that

economic growth and financial markets have also been affected equally (Liu, Manzoor, Wang,

Zhang and Manzoor, 2020).

Financial instability is a very important factor for society since a financial crisis or stock market

crash can affect, directly or indirectly, the level of the economic well-being of the inhabitants

of a country. If a given stock market is strongly linked to the stock market of another country,

the financial stability of the first depends, in part, on the financial stability of the second. Thus,

the occurrence of integration between markets can have significant implications for the

international diversification of risk (Alexandre, Dias, and Heliodoro, 2020a, 2020b; Alexandre,

Heliodoro, and Dias, 2019; Dias et al., 2020; Dias and Carvalho, 2020; Dias, Heliodoro, and

Alexandre, 2020, 2019; Dias, Heliodoro, Alexandre, Santos, and Farinha, 2021; Dias,

Heliodoro, Alexandre, and Vasco, 2020b, 2020a; Dias, Heliodoro, Teixeira, and Godinho,

2020; Dias, Pardal, Teixeira, and Machová, 2020; Dias and Pereira, 2021; Heliodoro, Dias, and

Alexandre, 2020; Pardal, P., Dias, R., Šuleř, P., Teixeira, N., and Krulický, 2020).

This study aims to analyze the relationship between Covid-19 (cases and deaths), and stock

market indexes in Greece (ATG), France (CAC40), Germany (DAX 30), United Kingdom

(FTSE 100), Italy (FTSE MID), Spain (IBEX 35), Ireland (ISEQ), and Portugal (PSI 20), in

the period from December 31st, 2019 to July 23rd, 2020. In order to achieve such an analysis,

it is intended to verify whether: do the increase in cases and deaths resulting from Covid-19

have any connection with the financial markets under analysis? If so, do these connections

cause a stir in Europe's financial markets? The results suggest the existence of synchronizations

between the increase in confirmed cases and deaths resulting from the Covid-19 virus, and

between these, and the financial markets. However, when we analyze the shocks, we see the

absence of unidirectional or bidirectional causalities between the evolution of Covid-19, and

the financial markets of Europe.

This investigation differs from studies carried out so far on the impact of the global pandemic

on financial markets, as far as is known; the authors Ali, Alam, and Rizvi (2020), Ashraf

(2020), Liu, Manzoor, Wang, Zhang and Manzoor (2020), Zeren and Hizarci (2020) analyzed

the pandemic shocks, but the research questions, the markets analyzed, and the approach was

essentially different from the one followed in this article.

In terms of structure, this article is organized into 5 sections. In addition to the current

introduction, section 2 presents a Literature Review with regard to articles on the impact of the

global pandemic on international financial markets, section 3 describes the methodology and

data, section 4 contains the results. Section 5 presents the general discussions of the work.

2. LITERATURE REVIEW

The understanding of international connections between financial markets in periods of the

financial crisis is relevant for investors, fund managers and academics, in different aspects,

namely in the theme of portfolio diversification (Lee, 2017).

THE IMPACT OF COVID-19 ON EUROPEAN FINANCIAL MARKETS: AN EMPIRICAL ANALYSIS

Özer, Kamışlı and Kamışlı (2016), Jawadi, Chlibi and Cheffou (2019) Moagar-Poladian,

Clichici and Stanciu (2019), Salisu, Ndako, Adediran and Swaray (2020) analyzed the

movements and the integration between several international markets. Özer, Kamışlı e Kamışlı

(2016) analyzed the movements between the markets of Germany, Austria, Czech Republic,

Croatia, Lithuania and Greece, the authors show mixed results when failing to show

movements. These findings have relevant implications for international investors, portfolio

managers and policy makers. Jawadi, Chlibi e Cheffou (2019) studied the movements between

the US market and the G-6, BRIC’s and MENA markets. The authors show that the MENA

and BRIC’s markets are segmented with the North American market, while the G-6 markets

show integration with the USA. Moagar-Poladian, Clichici and Stanciu (2019) demonstrate

that Central and Eastern European markets have robust levels of integration during the

European financial crisis. Salisu, Ndako, Adediran and Swaray (2020) analyzed integration

into Islamic markets and show that markets are integrated and that this behavior can be

influenced by global economic conditions.

Ali, Alam, and Rizvi (2020), Ashraf (2020), Liu, Manzoor, Wang, Zhang and Manzoor (2020),

Zeren and Hizarci (2020) analyzed the impact of the global pandemic (Covid-19) on financial

markets. Ali, Alam, and Rizvi (2020) investigated the reaction of financial markets as the

Coronavirus epicenter moved from China to Europe and then to the USA. The results suggest

that China's (initial) epicenter tends towards stabilization, while global markets have entered a

free fall, especially in the contagion phase (later). Ashraf (2020) examined the stock markets'

response to the Covid-19 pandemic, for this purpose used the daily data from COVID-19

(confirmed cases and deaths) and the profitability of 64 markets, from January 22nd, 2020 to

April 17th, 2020. The author shows that the stock markets reacted negatively to the growth of

confirmed cases of COVID-19. It means that the returns on the stock markets decreased as the

number of confirmed cases increased. Liu, Manzoor, Wang, Zhang and Manzoor (2020)

studied the impact of the coronavirus outbreak on 21 stock market indices. The authors show

significant structural breaks resulting from the COVID-19 outbreak. Zeren and Hizarci (2020)

analyzed the effects of the Covid-19 epidemic on the stock markets in the period from 23rd

January 2020 to 13th March 2020. The authors show that the global cases of the outbreak have

cointegration relations with the SSE, KOSPI and IBEX35 markets, but not with the FTSE MIB,

CAC40, DAX30 markets.

To summarize, this work aims to contribute to the provision of information to investors and

regulators in Europe's stock markets, where individual and institutional investors seek

diversification benefits, as well as helping to promote the implementation of policies that

contribute to the efficiency of these markets. Therefore, the objective of this work is to

examine, the synchronizations, and the unidirectional and bidirectional causalities, between the

Covid-19 data series (confirmed cases and deaths), and the European financial markets.

3. METHODOLOGY

DATA

The analyzed data are related to the Covid-19 data series (confirmed cases and deaths), and to

the stock market indexes of Greece (ATG), France (CAC40), Germany (DAX 30), United

Kingdom (FTSE 100), Italy (FTSE MID), Spain (IBEX 35), Ireland (ISEQ) and Portugal (PSI

20), from December 31st, 2019 to July 23rd, 2020. The time series have daily scales and were

obtained from the Thomson Reuters platform, with regard to the prices index of the financial

markets, they are in local currency, to mitigate distortions in exchange rates.

LIMEN 2020

Conference Proceedings

Table 1. The name of countries and their indices used in this paper

Index

Country

ATG

Greece

CAC 40

France

DAX 30

Germany

FTSE 100

United Kingdom (UK)

FTSE MID

Italy

IBEX 35

Spain

ISEQ

Ireland

PSI 20

Portugal

Source: Own elaboration

METHODOLOGY

The development of the research took place over several stages. The characterization of the

sample used was carried out through descriptive statistics, from the adherence test of Jarque

and Bera (1980), as well as graphics of stability to the residues. To estimate the structural

breaks in the financial markets, we used the unit root test of Clemente et al. (1998). To assess

the integration between the Covid-19 data series (confirmed cases and deaths), and the financial

markets in Europe, we use the Gregory and Hansen (1996) that identifies structure breaks. To

examine the significance of the causal relationships between the Covid-19 data series, and the

financial markets, in analysis, we used the VAR Granger Causality / Block Exogeneity Wald

Tests model, which uses Wald's statistic, which tests whether the null hypothesis that the

coefficients of the lagged endogenous variables of the variable "cause" are null or not "cause"

in the Grangerian sense the dependent variable. However, it should be noted that the result of

this test is highly sensitive to the number of lags considered in the model, so the first concern

is to properly estimate this value, in order to arrive at robust evidence (Gujarati, 2004). Besides,

and to determine the number of lags to include in the causality tests, we use the HQ (Hannan-

Quinn information criterion) criterion, and to assess the robustness of the model we apply the

VAR Residual Serial Correlation LM Tests.

4. `RESULTS

Figure 1 shows the evolution of the Covid-19 pandemic in the number of confirmed cases, as

well as deaths, in a global context. As of July 23, 2020, confirmed cases had already exceeded

15.3 million, and deaths had already exceeded 627,000.

Figure 1. Evolution of the Covid-19 pandemic, from 12/31/2019 to 7/23/2020.

4,000,000

8,000,000

12,000,000

16,000,000

M1 M2 M3 M4 M5 M6 M7

2020

Covid-19 (CASES)

100,000

200,000

300,000

400,000

500,000

600,000

700,000

M1 M2 M3 M4 M5 M6 M7

2020

Covid-19 (DEATHS)

Source: Own elaboration

THE IMPACT OF COVID-19 ON EUROPEAN FINANCIAL MARKETS: AN EMPIRICAL ANALYSIS

Figure 2 shows the evolution of European markets, in levels, in the period from December 31st,

2019 to July 23rd, 2020, which is a period of considerable complexity, due to understanding

the outbreak of the global pandemic (Covid-19). Most markets show structure breaks in

February and March 2020. These results are validated by the authors Heliodoro et al. (2020),

Dias, Pardal, et al. (2020), Dias, Heliodoro, Alexandre, et al., (2020a), Dias, Heliodoro, and

Alexandre (2020), Dias et al. (2020), that show significant structural breaks in financial

markets due to the impact of the 2020 global pandemic.

Figure 2. Evolution, in levels, of the 8 financial markets, in the period from 12/31/2019 to

7/23/2020

400

500

600

700

800

900

1,000

M1 M2 M3 M4 M5 M6 M7

2020

ATG

3,500

4,000

4,500

5,000

5,500

6,000

6,500

M1 M2 M3 M4 M5 M6 M7

2020

CAC 40

700

800

900

1,000

1,100

1,200

1,300

M1 M2 M3 M4 M5 M6 M7

2020

DAX 3 0

4,500

5,000

5,500

6,000

6,500

7,000

7,500

8,000

M1 M2 M3 M4 M5 M6 M7

2020

FTSE 100

14,000

16,000

18,000

20,000

22,000

24,000

26,000

M1 M2 M3 M4 M5 M6 M7

2020

FTSE MID

6,000

7,000

8,000

9,000

10,000

11,000

M1 M2 M3 M4 M5 M6 M7

2020

IBEX 35

4,000

4,500

5,000

5,500

6,000

6,500

7,000

7,500

M1 M2 M3 M4 M5 M6 M7

2020

ISEQ

3,500

4,000

4,500

5,000

5,500

M1 M2 M3 M4 M5 M6 M7

2020

PSI 20

Source: Own elaboration

Figure 3 shows the evolution, in returns, of Europe's 8 financial markets. In all series, there is

a relatively high dispersion around the average, as well as a relatively synchronized behavior

between the data series. Graphical analysis shows the existence of high volatility, especially in

February, March and April 2020.

Figure 3. Evolution, in % of the differences, of the 8 financial markets, in the period from

12/31/2019 to 7/23/2020

-20

-15

-10

-5

M1 M2 M3 M4 M5 M6 M7 M8

2020

% Change ATG % Change CAC 40

% Change DAX 30 % Change FTSE 100

% Change FTSE MID % Change IBEX 35

% Change ISEQ % Change PSI 20

Source: Own elaboration.

Table 2 shows the main descriptive statistics on the returns of the eight European financial

markets, as well as the Jarque-Bera adherence test. Analyzes of descriptive statistics show that

profitability shows negative daily averages, except for the German (DAX 30) and Ireland

(ISEQ) markets. The Greek market has the largest standard deviation, while the Italian market

LIMEN 2020

Conference Proceedings

has the highest levels of kurtosis and asymmetry. Additionally, the coefficients of asymmetry

and kurtosis are statistically different from those of a normal distribution.

Table 2. Descriptive statistics, on returns, of the 8 financial markets in Europe, in the

Complete period

ATG

CAC 40

DAX 30

FTSE 100

FTSE MID

IBEX 35

ISEQ

PSI 20

Mean

-0.001538

-0.000477

0.000467

-0.000692

-0.000197

-0.001036

4.30E-05

-0.000452

Std. Dev.

0.027084

0.021336

0.020510

0.019336

0.023779

0.022028

0.021069

0.017225

Skewness

-1.521235

-1.456190

-1.299364

-1.177540

-2.900081

-1.828632

-1.076405

-1.521948

Kurtosis

10.92967

11.74239

14.13378

11.50055

24.02861

15.09658

8.213614

13.94787

Jarque-Bera

598.1297***

704.0564***

1083.840***

645.1387***

3945.543***

1324.203

*** 263.8107***

1070.629***

Sum

-0.306004

-0.094967

0.093023

-0.137761

-0.039151

-0.206089

0.008563

-0.089869

Sum Sq. Dev.

0.145238

0.090134

0.083291

0.074025

0.111956

0.096072

0.087891

0.058748

Observations

199

Source: Own elaboration.

Figure 4. Stability tests carried out on the residues of the 8 financial markets in Europe, in

the Complete period

.000

.025

.050

.075

.100

.125

.150

-400

-200

200

400

M1 M2 M3 M4 M5 M6

2020

One-Step Probability

Recursive Residuals

ATG

.000

.025

.050

.075

.100

.125

.150

-3,000

-2,000

-1,000

1,000

2,000

M1 M2 M3 M4 M5 M6 M7

2020

One-Step Probability

Recursive Residuals

CAC 40

.000

.025

.050

.075

.100

.125

.150

-600

-400

-200

200

400

M1 M2 M3 M4 M5 M6 M7

2020

One-Step Probability

Recursive Residuals

DAX 30

.000

.025

.050

.075

.100

.125

.150

-3,000

-2,000

-1,000

1,000

2,000

M1 M2 M3 M4 M5 M6 M7

2020

One-Step Probabili ty

Recursive Residuals

FTSE 100

.000

.025

.050

.075

.100

.125

.150

-12,000

-8,000

-4,000

4,000

8,000

M1 M2 M3 M4 M5 M6 M7

2020

One-Step Probability

Recursive Residuals

FTSE MID

.000

.050

.100

.150

-4,000

-2,000

2,000

4,000

M1 M2 M3 M4 M5 M6 M7

2020

One-Step Probabili ty

Recursive Residuals

IBEX 35

THE IMPACT OF COVID-19 ON EUROPEAN FINANCIAL MARKETS: AN EMPIRICAL ANALYSIS

.000

.050

.100

.150

-3,000

-1,000

1,000

3,000

M1 M2 M3 M4 M5 M6 M7

2020

One-Step Probability

Recursive Residuals

ISEQ

.000

.050

.100

.150

-1,500

-500

500

1,500

M1 M2 M3 M4 M5 M6 M7

2020

One-Step Probabili ty

Recursive Residuals

PSI 20

Source: Own elaboration

Figure 4 shows the stability tests carried out on the residues of the European stock markets, to

corroborate the presence of structural breaks. The determination of the structural break is

relevant, as it affects potentially like that of the unit-roots. Through graphical analysis, we can

assess the existence of disturbances in variance. Additionally, when examining the graphs and

the 95% probability limits, we verified the existence of a violation of the probability limits,

thus, the time series show unstable behavior.

Table 3 shows the results of Clemente et al. (1998) which identifies structural breaks, mostly

in March 2020, resulting from the global pandemic (Covid-19). However, when we evaluate

the synchronizations between the Covid-19 data series and the financial markets in Europe, we

find that the structure breakdowns mostly occur in April 2020, it means, different from the

breakdown of the market itself; this shows, that the pandemic has a very significant impact on

these financial markets. These findings are corroborated by the authors Liu, Manzoor, Wang,

Zhang and Manzoor (2020) that show significant structural breaks resulting from the Covid-19

outbreak.

Table 3. Unit root tests with structural breaks of Clemente et al. (1998), in returns, referring

to the 8 financial markets in Europe, Complete period

Index

t-stat

Break Date

ATG

-12.57(0)***

05/02/2020

CAC 40

-13.53(0)***

31/03/2020

DAX 30

-12.82(0)***

10/03/2020

FTSE 100

-13.91(0)***

12/03/2020

FTSE MID

-14.61(0)***

17/03/2020

IBEX 35

-13.12(0)***

02/04/2020

ISEQ

-12.46(0)***

19/03/2020

PSI 20

-13.19(0)***

26/03/2020

Note: Lag Length (Automatic Length based on SIC). Break Selection: Minimize Dickey-Fuller t-statistic. The

lateral values in parentheses refer to lags. ***. **. *. represent significance at 1%. 5% and 10%. respectively.

Source: Own elaboration.

The results of the Gregory-Hansen test can be seen in Table 4, which shows the

synchronizations between the Covid-19 (confirmed cases), Covid-19 (deaths) data and the

European financial markets. Covid-19 data (confirmed cases) integrate with the Covid-19 data

series (deaths), with the Spanish market (IBEX 35), Greece (ATG), and Italy (FTSE MID).

However, the Covid-19 data series (deaths) is synchronized with the Covid-19 data (confirmed

cases), with the markets of Germany (DAX 30), France (CAC 40), Ireland (ISEQ), Italy ( FTSE

MID), United Kingdom (FTSE 100) and Portugal (PSI 20), just does not synchronize with the

Greek market (ATG). We can easily see that the Covid-19 data series (deaths) have a major

LIMEN 2020

Conference Proceedings

impact on the financial markets in Europe, and we also find that most of the structural

breakdowns in integration occur, mostly, in April 2020, differently from breaking of the market

itself (March 2020). These results are partially confirmed with the authors' Zeren and Hizarci

(2020) that show that the global cases of the outbreak have cointegration relations with the

SSE, KOSPI and IBEX35 markets, but not with the FTSE MIB, CAC40, DAX30 markets.

Table 4. Gregory-Hansen tests, period Covid (31/12/2019 to 23/07/2020)

Markets

t-statistic

Method

Lags

Break Date

Results

Covid-19 (cases) / Covid-19

(deaths)

-5.06**

Regime

30/05/2020

Integration

Covid-19 (cases) / IBEX 35

-5.49***

Trend

21/06/2020

Integration

Covid-19 (cases) / ATG

-5.21**

Trend

21/06/2020

Integration

Covid-19 (cases) / FTSE MID

-5.55***

Regime

17/04/2020

Integration

Covid-19 (deaths) / Covid-19

(cases)

-6.78***

Trend

21/04/2020

Integration

Covid-19 (deaths) / DAX 30

-5.45***

Trend

18/04/2020

Integration

Covid-19 (deaths) / CAC 40

-5.23**

Regime

17/04/2020

Integration

Covid-19 (deaths) / ISEQ

-5.47***

Regime

18/04/2020

Integration

Covid-19 (deaths) / FTSE MID

-5.89***

Regime

17/04/2020

Integration

Covid-19 (deaths) / FTSE 100

-5.16**

Regime

18/04/2020

Integration

Covid-19 (deaths) / PSI 20

-5.19**

Regime

17/04/2020

Integration

Notes: The asterisks ***, **, * indicate statistical significance at 1%, 5% and 10%, respectively.

Source: Own elaboration.

To analyze the significance of the causal relationships between the financial markets under

analysis, the VAR Granger Causality / Block Exogeneity Wald Tests model was applied. To

determine the number of lags to include in the causality tests, we used the HQ criterion

(Hannan-Quinn information criterion) which suggests 2 lags (see table 5).

Table 5. VAR Lag Order Selection Criteria

Lag