Abstract: The COVID-19 brings back the debate about the impact of disease outbreaks in economies and financial markets. The error correction terms (ECT) and cointegration processing tools have been applied in studies for identifying possible transmission mechanisms between distinct time series. This paper adopts the vector error correction model (VECM) to investigate the dynamic coupling between the pandemics (e.g., the COVID-19, EBOLA, MERS and SARS) and the evolution of key stocks exchange indices (e.g., Dow-Jones, S&P 500, EuroStoxx, DAX, CAC, Nikkei,...
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Topics: 
Econometrics
Monetary economics
Financial economics