Document Type : Research Paper

Authors

1 PhD in Economics, Economics and Administrative Sciences Faculty, Ferdowsi University, Mashad, Iran

2 Associate Professor in Economics, Economics and Administrative Sciences Faculty, Ferdowsi University, Mashad, Iran

Abstract

The present study investigates the effect of coronavirus outbreak and exchange rate and oil price variables on the stock market index using  Markov Switching model during the period 1398/11/30 – 1399/03/27. The results show that exchange rate growth has no significant effect in the high regime of the stock market index and has a negative and significant impact in the low and medium regimes. The growth of oil prices has had a negative and significant effect on all stock market index regimes. Also, in the high regime of the stock market index, the prevalence and increase in the coronavirus cases will lead to a decrease in the stock market index, and on the contrary, in the low regime of the stock market index, the prevalence and increase in the coronavirus cases will increase the stock market index. In the high regime of the stock market index, the coronavirus outbreak can lead to a decrease in the stock market index and the outflow of capital from the stock market and transfer to other parallel markets such as currency and housing can occur, and speculation increases.

Keywords

Main Subjects

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