Stock Markets and Exchange Rates Throughout the COVID-19 Pandemic: Other Evidence for Italy and China Case

This paper examines the impact of changes in covid-19 cases/deaths on the stock market and exchange rate using daily data covering the period between 31 december 2019 and 12 march 2020, in italy and china. founded on the markov regime switching model, we identified two stress regimes: normal stress regime and high-stress regime. the threshold var model is used to differentiate the exchange rate and stock market price dynamics between normal stress regimes and high-stress regimes. we found that of covid-19 pandemic has no/weakly impact on chinese and italian national currencies but can negatively influence stock market prices. the contribution of this framework is the setting of an estimated threshold value of the number of deaths/cases of covid-19 above what we consider a high-stress period. these findings are very important for policymakers to predict sanitary pandemic effects such as covid-19 on the global markets and help in policies' perception of fighting against any sanitary pandemic.