The Impact of the COVID-19 Pandemic on Stock Market Performance in G20 Countries: Evidence from Long Short-Term Memory with a Recurrent Neural Network Approach

In light of developing and industrialized nations, the G20 economies account for a whopping two-thirds of the world's population and are the largest economies globally. Public emergencies have occasionally arisen due to the rapid spread of COVID-19 globally, impacting many people's lives, especially in G20 countries. Thus, this study is written to investigate the impact of the COVID-19 pandemic on stock market performance in G20 countries. This study uses daily stock market data of G20 countries from January 1, 2019 to June 30, 2020. The stock market data were divided into G7 countries and non-G7 countries. The data were analyzed using Long Short-Term Memory with a Recurrent Neural Network (LSTM-RNN) approach. The result indicated a gap between the actual stock market index and a forecasted time series that would have happened without COVID-19. Owing to movement restrictions, this study found that stock markets in six countries, including Argentina, China, South Africa, Turkey, Saudi Arabia, and the United States, are affected negatively. Besides that, movement restrictions in the G7 countries, excluding the United States, and the non-G20 countries, excluding Argentina, China, South Africa, Turkey, and Saudi, significantly impact the stock market performance. Generally, LSTM prediction estimates relative terms, except for stock market performance in the United Kingdom, the Republic of Korea, South Africa, and Spain. The stock market performance in the United Kingdom and Spain countries has significantly reduced during and after the occurrence of COVID-19. It indicates that the COVID-19 pandemic considerably influenced the stock markets of 14 G20 countries, whereas less severely impacting 6 remaining countries. In conclusion, our empirical evidence showed that the pandemic had restricted effects on the stock market performance in G20 countries.

COVID-19, ESG investing, and the resilience of more sustainable stocks: Evidence from European firms

Following the COVID-19 outbreak, orientation toward sustainability is a critical factor in ensuring firm survival and growth. Using a large sample of 1,204 firms in Europe during the year 2020, this study investigates how more sustainable firms fare during the pandemic compared with other firms in terms of risk-return trade-off and stock market liquidity. We also highlight the drivers of the resilience of more sustainable firms to the pandemic. Particularly, we document that higher levels of cash holdings and liquid assets in the pre-COVID period help these firms to perform and absorb the COVID-19 externalities better than other firms. Our results are robust to a host of econometric models, including GMM estimations and several measures of stock market performance. These findings contribute to the theoretical and empirical debate on the role of the sustainability as a source of corporate resilience to unexpected shocks.