i
COVID-19 Pandemic E ec s
in Uni ed Kingdom’s s ock ma ke
Ma iana da Luz Rua Rocha
Disse a ion as pa ial equi emen o ob aining he Mas e ’s
deg ee in S a is ics and In o ma ion Managemen
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NOVA In o ma ion Managemen School
Ins i u o Supe io de Es a ís ica e Ges ão de In o mação
Uni e sidade No a de Lisboa
COVID-19 PANDEMIC EFFECTS IN UNITED KINGDOM’S STOCK
MARKET
by
Ma iana da Luz Rua Rocha
Disse a ion as pa ial equi emen o ob aining he Mas e ’s deg ee in S a is ics and
In o ma ion Managemen , wi h a specializa ion in Risk Analysis and Managemen
Ad iso : Rui Alexand e Hen iques Gonçal es
Sep embe 2021
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ACKNOWLEDGEMENTS
I wan o exp ess my g a i ude o all he people who suppo ed me du ing his wo k.
To he supe iso P o esso Rui Gonçal es, o his guidance, a ailabili y and pa ience
du ing his hesis.
To my amily, o all he pa ience and s eng h hey ga e me du ing his phase, especially
my mo he , a he and sis e .
To João o all he help and uncondi ional suppo .
To e e yone who c ossed my pa h du ing hese wo yea s.

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Abs ac
Today, economic, na u al and echnological disas e s, ci il eme gencies, disease epidemics yield
an inc easing conce n abou he wo ld’s economy. The i s cases o COVID-19 s a ed o appea
in Janua y 2020 in China and in 11 h Ma ch was conside ed a pandemic. This pandemic is unique,
in he sense ha equi ed some companies o ein en hei wo king me hods, some o shu down
hei p oduc ion o a ce ain ime and in he wo s cases ile o bank up cy.
In his wo k, we aim o s udy he possible e ec s o COVID-19 pandemic on UK’s s ock ma ke .
Fo his analysis we used daily da a om FTSE All-Sha e be ween 1 Janua y 2010 and 30
Decembe 2020, COVID-19 daily o al dea hs and daily o al cases, and also dummy a iables
based on a GARCH (1,1) eg ession model. The indings shows ha he e u ns o FTSE All-
Sha e du ing he COVID-19 pandemic we e no a ec ed signi ican ly and ha du ing his pe iod
we can see signi ican posi i e and nega i e e ec s du ing some speci ic o nigh s. No signi ican
e idence was ound o a ela ionship be ween he ise in he numbe o cases/dea hs pe co id-19
and he daily index e u ns.
Keywo ds: COVID-19; UK; Ex eme e en s; Financial Ma ke s; Economic C isis
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Resumo
A ualmen e, as ca ás o es económicas, na u ais e ecnológicas, as eme gências ci is e as
epidemias são al o de uma p eocupação c escen e sob e a economia mundial. Os p imei os casos
de COVID-19 começa am a su gi em Janei o de 2020 na China e a 11 de Ma ço oi conside ada
uma pandemia. Es a pandemia é única, no sen ido que exigiu que algumas emp esas
ein en assem os seus mé odos de abalho, que algumas ence assem a sua p odução du an e
de e minado empo e que, nos pio es casos, decla assem alência.
Nes e abalho, p e endemos es uda os possí eis e ei os da epidemia de COVID-19 na bolsa de
alo es do Reino Unido. Pa a es a análise u ilizámos dados diá ios do índice FTSE All-Sha e
en e 1 de Janei o de 2010 e 30 de Dezemb o de 2020, o núme o o al de mo es diá ias e casos
diá ios po COVID-19 e ambém a iá eis dummy baseadas num modelo de eg essão GARCH
(1,1). Os esul ados mos am que os e o nos do FTSE All-Sha e du an e a pandemia de COVID-
19 não o am a e ados signi ica i amen e e que du an e es e pe íodo podemos e e ei os
signi ican es posi i os e nega i os du an e algumas quinzenas especí icas. Não o am encon adas
p o as signi ica i as de uma elação en e o aumen o do núme o de casos/mo es po co id-19 e
os e o nos diá ios do índice.
Pala as Cha e: COVID-19; Reino Unido; E en os Ex emos; Me cados Financei os; C ise
Económica
2
en i onmen al ( Shelo e al.,1992; Ca pen ie and Su e , 2015; Guo e al., 2020), poli ical
e en s (Bash and Alsai i, 2019; Shanae and Ghimi e, 2019; Šk inja ić, 2019) and heal h
c isis such as epidemic/pandemic diseases, o example Se e e Acu e Respi a o y
Synd ome (SARS) ou b eak (Lee and McKibbin, 2004; Nippani and Washe , 2004),
In luenza ou b eak (Ba o, U sua and Weng, 2020), Ebola Vi us Disease (EVD) ou b eak
(Iche and Ma inč, 2018), among o he s.
An unexpec ed disease called co ona i us (COVID-19) has sp ead a ound he wo ld since
he end o 2019. Wuhan, a cen al ci y in China, announced he i s case o COVID-19
on Decembe 2019. The i s h ee con i med cases ou side o Wuhan we e on Janua y
19 h. To a oid he sp ead o epidemic, he Chinese go e nmen con inued o implemen
di e en public heal h policies, such as a el es ic ions, cu ews and school closu es.
The i us, howe e , con inued o sp ead as one o he highes in ec ion a e i uses.
The UK con i med he i s wo cases o he la es co ona i us on Janua y 31s . On Ma ch
11 h 2020, as he numbe o con i med cases ose globally, he Wo ld Heal h O ganiza ion
(WHO) announced he co ona i us ou b eak o be a global pandemic. The main e en s
ela ing o he COVID-19 ou b eak a e summa ized in Table 1.
As o 23 o June, 2020, he numbe o global ac i e con i med cases su passed 3.500.000,
speci ically, he UK passed he ba ie o 300 000 cases and he numbe o cases
con inued o ise (WHO, 2020).Compa ed o o he i uses, COVID-19 a ali y isk is low,
bu i s in ec ion a e is ela i ely high (Table 2).
Sou ce: Asian de elopmen bank epo No. 128 (h ps://www.adb.o g/publica ions/economic-impac -co id19-
de eloping-asia).
WHO epo s mo e han 2 dozen cases o pneumonia o unknown o igin.Dec. 31
Fi s con i med dea h om no el co ona i us epo ed in Wuhan, China.Jan. 11
Uni ed Kingdom con i ms he i s wo cases o co ona i us.Jan. 31
UK eco ds i s 3 dea hs.Ma . 8
WHO conside s COVID-19 a pandemicMa . 11
Table 1- Main e en s ela ing o COVID-19
Table 2 - Fa ali y Ra es and In ec ion Ra es o COVID-19 and O he Epidemics

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Uni ed Kingdom aced a majo ecessiona y challenge ega ding he e ec s o COVID-
19 pandemic. The e a e some big companies whose business has been conside ably
a ec ed by his pandemic, including Associa ed B i ish plc, B i ish Ai ways plc, Tesco
PLC, Rolls-Royce Holdings plc, and Dyson L d. Fo ins ance, on he 22nd o Ma ch 2020,
Associa ed B i ish Foods plc had o close all s o es in he UK, which ep esen ed 41% o
i s sales. On he o he hand, due o he inc easing demand o en ila o s in he UK, some
companies such as Rolls-Royce Holdings plc and Dyson L d. s a ed o p oduce
en ila o s, which was a help o mi iga e hei lack o e enue du ing he pandemic.
Since public ansi in Wuhan was hal ed on 23 Janua y, a a ie y o pape s ha e been
eleased in he mains eam p ess epo ing ha COVID-19 is ha ing a majo e ec on he
economies o he coun ies a ec ed. In The Economis , a epo en i led ‘Sp ead and
S u e ’ s esses ha COVID-19 is a signi ican h ea o he s a us o global ma ke s. ‘The
Righ Medicine o he Wo ld Economy’ (The Economis ) also epo s ha s ock ma ke
p ices ha e allen as conce ns in ensi y ega ding he e ec s o he COVID-19 i us.
Co ona i us disease 2019 (COVID-19) has b ough unce ain y in he global economy.
When he pandemic i s su ged i was hough ha only China’s economy would be
a ec ed b inging se e al consequences o global economy, howe e , he si ua ion u ned
ou o be wo s . This is no iceable in he MSCI Wo ld Index ha ell 8% om he
beginning o Janua y un il June 2020.
This s udy aims o examine he e ec o COVID-19 disease on UK’s s ock ma ke
e u ns, addi ionally we will also examine he e ec s o daily cases and daily dea hs on
he UK s ock ma ke . Following he Chen, Tang, e al. (2009) ‘The posi i e and Nega i e
Impac s o he SARS ou b eak: A case o he Taiwan Indus ies’ pape , we hink i would
be in e es ing o make a simila ype o analysis ega ding he impac o COVID-19 on
UK’s s ock ma ke . In he nex chap e we will e e o some s udies ha p esen e idence
ha , con a y o p e ailing belie , i uses ha e no had nega i e impac in he s ock
ma ke s while o he s p esen e idence ha such impac s do exis and a e s a is ically
signi ican .
1.2 S udy Objec i es
As abo e men ioned, he main objec i e is o answe , “how was he UK s ock ma ke
a ec ed by he COVID-19 pandemic”. To answe his ques ion we i s ha e o analyze
he ollowing ques ions “did COVID-19 impac he UK’s s ock ma ke ?” we aim o
analyze he daily e u ns o FTSE All-Sha e in he pe iod om Janua y 2010 o Janua y
2021, and see i his pandemic impac s he UK’s s ock ma ke , “i so, wha we e he
impac s” quan i y he possible impac o his pandemic, “did COVID-19 had a
momen a ily impac on he UK’s s ock ma ke ?” and “i so, wha we e he impac s?”
analyze and quan i y in each o nigh s i he e u ns di e om p e-pandemic a e age
and y o ind empo al e en s ela ed o COVID-19 ha coincide wi h hose o nigh s.
Addi ionally, we will answe he ques ions “How does he numbe o daily dea hs impac
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he UK s ock ma ke p ices?” and “How does he numbe o daily cases impac he UK
s ock ma ke p ices?”. To answe his ques ion, we aim o analyze he ela ion be ween
daily e u ns o FTSE All-Sha e and he numbe o daily dea hs/cases in he UK.
The es o he pape p oceeds as ollows: on sec ion 2 we p esen some ele an pape s
o his s udy ha cons i u e he Li e a u e Re iew, sec ion 3 p esen s he da a and
me hodology used, in sec ion 4 we p esen he esul s and hei discussion and inally in
sec ion 5 we p esen he conclusions.
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2 Li e a u e Re iew
2.1 UK’s s ock ma ke O igin
I was in 1968 ha he i s s uc u ed ading in ma ke able secu i ies was hea d o in
London. All o his began when in ha same yea John Cas aing published a lis o s ocks
and asse p ices designa ed a he ime “The Cou se o he Exchange and o he hings”.
In 1761, abou 150 s ockb oke s ounded a g oup/club o buy and sell sha es a Jona han’s
Co ee House. In 1773, he same g oup buil hei own house in Swee ing’s Alley known
as “New Jona han’s”. Howe e , membe s quickly enamed o “The S ock Exchange”.
(LSE, 2012a).
The London S ock Exchange opened i s o eign ma ke o g owing companies,
Al e na i e In es men Ma ke (AIM), in 1995. The S ock Exchange Elec onic T ading
Se ice (SETS) was in oduced wo yea s la e o o e he indus y mo e speed and
e iciency. LSE was lis ed as i s own p ima y ma ke in July 2001. A new in e na ional
equi y de i a i es company, EDX London, was ounded by he LSE in 2003. The LSE
me ged wi h Bo sa I aliana in 2007, o ming he London S ock Exchange G oup (LSE,
2012a). Besides hese impo an ma ks, s ock ma ke s e o ms we e also impo an . Due
o he inc ease in ma ke demand om an accumula ion o s eps in o de o ini ia e a o al
change in he ma ke s uc u e, he day he London S ock Exchange ules changed,
Oc obe 27, 1986, was named "Big Bang". The 1986 Big Bang ma ked he beginning o
a chain o se ious e o ms, which saw he es uc u ing o he U.K. inancial exchange
(Yada , P. K., & Pope, P. F, 1990; Peel e Al., 1993; Chambe s, 2009).
In he U.K., he e a e se e al exchanges specializing in nume ous ades, such as he
In e na ional Financial Fu u es and Op ions Exchange (LIFFE), London Me al Exchange
(LME) and Bal ic Exchange. LIFFE s a ed by ading u u e con ac s and op ions wi h
sho - e m in e es a es, un il i has me ged wi h he London T aded Op ions Ma ke
(LTOM) in 1993, and inc eased he a ie y o p oduc s in i s po olio. The London Me al
Exchange is an exchange o base and o he me als u u es con ac s and op ions; and he
Bal ic Exchange, is a membe ship o ganiza ion a he hea o he global ma i ime
ma ke place, ha o e s “daily eigh ma ke p ices” and cos indexes o ma ine shipping.
(LSE,2012a).
6
Today, a he hea o he global inancial ma ke , he London S ock Exchange is home
o some o he wo ld’s bigges , mos p o i able and compe i i e companies. (LSE, 2012a).
F om o e se en y coun ies, he Exchange is one o he mos di e se o all s ock
exchanges in he wo ld. The main ma ke o he LSE is he bigges in e na ional ma ke
o he lis ing and ade o sha es, deb and o he ins umen s in he wo ld.
The London S ock Exchange is nea ly 300 yea s old, making i one o he wo ld’s oldes
s ock exchanges. The London S ock Exchange was ounded in 1801 and is loca ed in he
Ci y o London in he Uni ed Kingdom. (Wo ld Fede a ion o Exchanges, 2012). As o
Ma ch 2020, he Exchange had a ma ke capi aliza ion o US$3.332 illion, making i
he eigh h-la ges s ock exchange in he wo ld and he second la ges in Eu ope.
Du ing 1999, he London S ock Exchange had eco d olumes aded on he o eign and
domes ic exchange, wi h in e na ional business up 10,1% in alue and domes ic business
up 36%. London expe ienced buoyan a e o ading in 1999, like many s ock ma ke s.
A posi i e eminde o one o London’s main s eng hs was he con inuing expansion o
i s in e na ional ma ke (LSE, 2012b). The o e all olume o U.K equi ies aded du ing
1999 g ew o 1.407 billion on he domes ic ma ke , om 1.037 billion in Decembe 1998.
The o e all numbe o U.K. deals also soa ed o a eco d 20.929.000 up 29% om
16.220.000 deals in 1998 (81.644 a day on a e age). In 1999, all he big U.K. FTSE
indexes se miles ones.
The u no e olume hi 2.403 billion a he end o 1999, up mo e han 10,1% om 2.183
billion in Decembe 1998. O e ime, he numbe o lis ed i ms on he LSE has no
changed signi ican ly. Based on he pape o Nyasha e Al. (2013) we we e able o
cons uc an upda ed able o he numbe o lis ed companies on he LSE and also d aw
some conclusions. The numbe declined o 2.778 in 2000 om 2895 in 1999, bu bounced
up o 2.927 in 2001. Tha numbe declined be ween 2001 and 2004, while i ose be ween
2005 and 2007. In 2007, he numbe o lis ed companies peaked, wi h 3.305 lis ed
companies egis e ed. As Nyasha e Al. (2013) analysed “wi h he global inancial c isis,
he numbe o lis ed companies s a ed i s descen in 2008, eco ding 3.298 be o e u he
umbling o 2.792 in 2009”. Since hen, he e has been a dec ease in lis ed i ms. The
highes numbe o lis ed companies egis e ed be ween 1999 and 2020 was in 2007, while
7
he lowes numbe was eco ded in 2020. Table 3 shows he numbe o lis ed companies
on he LSE du ing he pe iod 1999 o 2020.
The e olu ion o he U.K. s ock ma ke can also be seen in he numbe o domes ic-lis ed
companies. Be ween 1985 and 1998, he numbe o domes ic i ms lis ed in Uni ed
Kingdom luc ua ed a ound 2.000, ising o a ound 2.400 in 2002, declining ma ginally
in 2003 be o e ising again in he ollowing yea s, hi ing a peak o a ound 2.920 in 2007.
The numbe d opped s eadily o e he yea s om 2007 un il i eached 2.000 lis ed
companies in 2011. In 2019, U.K. egis e ed 2.030 domes ic-lis ed companies. Uni ed
Kingdom expe ienced an yea -on-yea a e age numbe o domes ic companies g ow h
a e o -0,87% o he ime pe iod 1975 o 2019 (Wo ld Bank, 2020).
The London S ock Exchange (LSE) is he Uni ed Kingdom’s main s ock exchange whe e
commodi ies, bonds and o he inancial ins umen s a e exchanged on a day- o-day basis.
The Financial Times S ock Exchange (FTSE) 100 Sha e Index is he dominan index o
he LSE, con aining 100 o he op blue-chip s ocks. Apa om FTSE 100, LSE also has
o he known indexes, such as FTSE All-Sha e Index which includes app oxima ely 600
Sou ce: London S ock Exchange. Repo Highligh s. Issue Lis A chi e (h ps://www.londons ockexchange.com/ epo s? ab=issue s)
Sou ce: The Wo ld Bank
1999 2000 2001 2002 2003 2004 2005 2006
Numbe o Lis ed
Companies on he
London S ock
Exchange
2895 2778 2927 2880 2815 2681 2844 3088
2007 2008 2009 2010 2011 2012 2013 2014
Numbe o Lis ed
Companies on he
London S ock
Exchange
3305 3298 2792 2670 2594 2494 2448 2446
2015 2016 2017 2018 2019 2020
Numbe o Lis ed
Companies on he
London S ock
Exchange
2365 2267 2038 2099 2055 1989
Table 3 - Numbe o Lis ed Companies on The London S ock Exchange (1999-2020)
G aph 2 - Numbe o Domes ic-Lis ed Companies on LSE (1975-2019)

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o he mo e han 2.000 LSE- aded s ocks, comp ising a leas 98% o he ull ma ke
capi aliza ion o all lis ed UK i ms.
As i s s a in 1962, he FTSE All-Sha e Index was known as he FT Ac ua ies All-Sha e
Index. In Janua y 1984 and Oc obe 1992, espec i ely, he index was s eng hened by
he addi ion o wo sub-indices, he FTSE 100 and he FTSE 250. (FTSE Russel, 2021)
Some au ho s, o e he ime, s udied he p ima y ac o s ha migh ha e con ibu ed o
he a ia ion o he ola ili y. Like he g ea c ash o 1920, he inancial wo ld li ed
h ough ha d imes in 1987. In a ma e o a ew days, mos inancial ma ke s los a ound
30% o hei alue and illions o dolla s, hus lea ing he “ eal economy” comple ely
de as a ed o many yea s. The i s day o his g ea collapse was a Monday and was
he e o e called Black Monday. (Sando al and F anca, 2012)
As Bogle (2008) epo ed in his a icle, in jus one day, he p ice o Dow Jones Indus ial
A e age wen om 2246$ o 1738$ ie, a d op o a ound 25%. Obe holze and Boe iche
(2015) in hei pape concluded ha Black Monday esul ed in a “domino e ec ” in mos
o he global inancial ma ke s, wi h UK s ock ma ke alue dec easing by abou 26,4%.
F om 1963 un il la e 2003, Engle (2004) analyzed he daily e u ns o he S&P 500 index.
He e e s o he Oc obe 1987 c isis as “ he mos d ama ic e en ” and he also obse es
ha ola ili y ends o be highe in ma ke s ha ha e seen a p olonged p ice all. Nex ,
Engle (2004) examined he sub-pe iod a e he 1987 c ash which eco ded “low ola ili y
pe iod o he middle 1990s”, ollowed by “a slow and s eady s ock p ice g ow h o equi y
p ices”. As s ock p ices ose, unce ain y climbed, hi ing ex emely high le els om
1998 onwa ds.
We ha e seen emendous ola ili y in he capi al ma ke s o e he las wo decades. In
Oc obe 2008, c edi lows oze, ma ke con idence collapsed, and he economies o
coun ies a ound he wo ld plunged in o ecession one a e ano he (Nan o, 2009). As a
esul , nume ous economis s and analys s we e wo ied abou he consequences o global
con agion. The US economy was acing e y ough imes, and i did no ake long o he
consequences o ex end o he es o he global ma ke s, gi en he na ional and o eign
linkages o i s inancial sec o , o jeopa dize, o example, mone a y union in Eu ope and
he es o he wo ld, owing o he high con e gence o wo ld ma ke s and he
in e na ional na u e o he inancial se ices ac o . As a esul , he o iginal US mo gage
c isis de eloped in o wha came o be dubbed ye ano he “g ea ecession” which led o
d as ic s uc u al shi s in he wo ld’s main inancial ma ke s. The U.K., ollowed by he
es o Eu ope and hen he de eloping ma ke s, we e he i s o be impac ed by he c isis
due o i s s ong economic ies wi h he USA.
The s udy o he e ec o inancial c ises is c i ical because c ises a e ecu ing
phenomena ha ha e signi ican implica ions on he eal economy, especially “in e ms
o loss o economic g ow h and employmen , and inc eased isk o inancial ins i u ions
9
ha ope a e globally” (Ho a, P., 2013). A lo o analysis and scien i ic da a is a ailable
abou how and when c ises a ise and a e dis ibu ed h ough inancial ma ke s and
egions. Lioui, A. (2009) e lec ed on he e ec o he ban on sho sales du ing he
inancial c isis on he unce ain y, skewness and ku osis o 11 ba ed Eu opean sha es,
ou Eu opean s ock indices (CAC40, FTSE, DAX, IBEX 35) and wo US indices (S&P
500, NASQAD). In an indus y-sponso ed epo , Ma sh and Nieme (2008) analyzed he
compa a i e conduc o s ocks ha we e subjec o a sho selling ban in 2008 by
egula o y au ho i ies in six coun ies, including he Uni ed S a es. O e all, Ma sh and
Nieme (2008) did no ind any signi ican e ec on he conduc o egula ma ke p ices
om es ic ed sho selling.
In his a icle, Chaudhu y (2011) s udied he e ec o he 2008 inancial c isis on “ he
beha io o s ock ma ke s” using daily e u ns o he 2007/2008 pe iod o hi y-one la ge
US s ocks and he S&P 500. He concluded ha “uncondi ional mean daily e u ns
declined ell o nega i e le els, uncondi ional ola ili y su ged mo e han wo hund ed
pe cen ”, ma ke co ela ion weakened, and he alue o ma ke di e si ica ion imp o ed
in isk mi iga ion. Chaudhu y (2011) also concludes ha wi h he s ong accumula ed
dec eases in s ock alues, he a e age daily e u ns ha e declined d ama ically, especially
o he inancial s ocks ha s a ed a an “ea ly s age o he c isis”. The mos no able
e ec o he ecession, hough, was on he uncondi ional s anda d de ia ion o daily
e u ns, which b ough he non- inancial s ocks up o “mo e han h ee imes he p e-
c isis le el”, “ ou imes o he S&P 500 and i e imes o he inancial s ocks”.
Using he Fo bes and Rigobon (2002) concep s, Ho a e al. (2010) ound ha he
inancial c isis o 2008 had con agious consequences on he Eu opean s ock ma ke s o
he NYSE Eu onex communi y (Belgium, F ance, he Ne he lands and Po ugal) as he
associa ion be ween he US e u ns and he indexes o he o he ou ma ke s showed ha
bo h he US and he o he ma ke s wen om a calm e a o a c isis pe iod. In he
backg ound o he 2010 Eu opean so e eign deb c isis, Ho a, P. (2013) analyzed he
same ma ke s and disco e ed con agion e ec s om he G eek s ock ma ke o he
Po uguese s ock ma ke , bu no om Belgium, F ance and he Ne he lands.
2.2 Economic and S ock Ma ke Impac s o Heal h C isis
In he pas , he Wo ld Heal h O ganiza ion (WHO) has e ealed nume ous epidemics ha
ha e impac ed he as numbe o people and economies wo ldwide, such as In luenza,
Ebola, Se e e Acu e Respi a o y Synd ome (SARS), among o he s.
Many s udies ha e analyzed he impac o epidemics on he economy and s ock ma ke s.
These epidemics had a signi ican e ec on he global economy, in ac , 5% o he US
G oss Domes ic P oduc (GDP) dec eased due o in luenza (Palese, 2004), u he mo e,
he EBOLA ou b eak, which claimed he li es o o e 11.000 people wo ldwide, cos he
Uni ed S a es an es ima ed $53 billion in economic losses ( Hai e Al., 2004). SARS-CoV
10
also had an economic impac in 2002, impac ing o e 8000 li es, educing China’s GDP
by 1%, and con ibu ing o a $54 billion global economic impac . (Pei is e Al. 2003)
An ou b eak, gene ally e e ed o as he ‘Spanish Flu’, began du ing he las yea o
Wo ld Wa I in Ma ch 1918 and is es ima ed o ha e caused mo e han 50 million dea hs
wo ldwide. F om Sep embe o No embe 1918, he i s wa e o Spanish lu p o ed
much less a al han he second wa e ha appea ed in he wo ld (Pa e son and Pyle,
1991; Taubenbe ge and Mo ens 2006). A hi d wa e was also wi nessed by se e al
na ions in ea ly 1919.
Ba o, U sua and Weng (2020) examined how GDP, s ock p ices and in la ion ac oss 43
coun ies ha e been impac ed by he dea hs om he Spanish lu pandemic. They
concluded ha in e ms o he mac oeconomic e ec s on GDP and consump ion he
pandemic “may ha e been he ou h mos impo an nega i e mac oeconomic shock o
he wo ld since 1870”, going u he hey ound ha he pandemic educed GDP and
consump ion by a ound 6,0% and 8,1% espec i ely. In ela ion o he impac on inancial
e u ns and in la ion, hey concluded ha s ock e u ns we e “nega i ely impac ed by 26
pe cen age poin s and 19 pe cen age poin s, espec i ely”, whe eas in his case he impac
is o he pandemic as well as Wo ld Wa I dea hs.
The expe ience in he Uni ed S a es, whe e g ow h esumed in Ma ch 1919, did no
exac ly i he expe ience in Eu ope. Al hough desc ibing he ini ial nega i e impac o
he Spanish lu on Swedish capi al income (bu no ea nings), Ka lsson, Nilsson, and
Pichle (2014) also ound e idence o a pe sis en ise in po e y a es ha pe sis ed a e
1920. The ac ha he i s wo wa es happened when Wo ld Wa I was s ill in p og ess,
wi h he hi d wa e eme ging only a ew mon hs a e he A mis ice o 11 h o No embe
1918, admi edly complica es any e alua ion o he economic consequences o he
Spanish Flu. The Spanish lu i sel , howe e , seemed o ha e ueled such signi ican
dis up ions as hose no ed in Sweden and he Uni ed Kingdom (Economis , 1918a,
1918b).
Fu he mo e, using Weekly NYSE ading in o, McTie , Tse and Wald (2013) analyzed
he e ec o in luenza on inancial ma ke s. They concluded ha o he Uni ed S a es,
“dec eased ading, dec eased ola ili y, dec eased e u ns, and highe bid-ask sp eads”
was co ela ed wi h a highe occu ence o lu. This pape claimed ha lu may ha e an
e ec on inancial ma ke s pe o mance by “incapaci a ing key indi iduals, such as
ade s and ma ke make s”, by impac ing in es o s beha io , and by educing economic
ac i i y expec a ions.
Th ough a numbe o possible scena ios (mild, mode a e, ex eme and ul a) ha co e
he his o y o in luenza pandemics o he wen ie h cen u y, McKibbin and Sido enko
(2006) examined he e ec s o a pandemic in luenza on he global economy. As
McKibbin and Sido enko epo ed aced wi h a pandemic in luenza scena io, i would be
expec ed ha : (i) due o an inc ease in he numbe o dea hs and sick people, a dec ease
11
in he labo o ce in a ious sec o in many coun ies; (ii) “an inc ease in he cos o doing
business”; (iii) a sudden change in ma ke p e e ences a o ing sec o s less ulne able o
he pandemic; and (i ) a cons an e-e alua ion o he isk o each coun y by in es o s
based on go e nmen esponses o he pandemic. The au ho s also s a e ha e en i he
pandemic scena io was conside ed “mode a e”, he impac s on he o e all g ow h le els
o he economy would be qui e high, i would cause he dea h o abou 1,4 million people
and educe global GDP by abou 0,8% ( his is abou US$ 330 billion) in economic ou pu .
I he pandemic ep esen ed a scena io called “ul a” hen he impac s on he economy
would also be g ea e . I would cause an es ima ed 142,3 million dea hs and a educ ion
in global GDP o US$ 4,4 illion.
The epidemic HIV/AIDS had i i s diagnosed appea ance in 1981 in Uni ed S a ed, and
i quickly dissipa ed a ound he wo ld b inging se ious consequences in global heal h.
Acco ding o WHO in 1999, AIDS was he ou h bigges cause o dea h in he wo ld and
he i s cause in A ica. Al hough 40 yea s ha e passed since he appea ance o he i s
case o HIV, he disease emains a majo public heal h p oblem and a he end o 2019
he e we e a ound 38 million people li ing wi h HIV.
Some s udies such as Kambou, De a ajan and O e (1992), Cudding on (1993),
Cudding on and Hancock (1994) and also Bloom and Mahal (1997) analyzed he
economic impac o he AIDS epidemic. Kambou, De a ajan and O e (1992) in hei
s udy assumed ha he AIDS epidemic a ec s he economy in he sense ha i educes
he labou o ce and he e o e also educes p oduc ion in he a ious economic sec o s,
mo e speci ically a dec ease in he economy o abou 0,8% o he en i e labo o ce.
Acco ding o his easoning hey concluded ha he dec ease in he labo o ce esul ed
in a dec ease in GDP o abou -0,6% pe yea o coun ies on he A ican con inen .
Cudding on (1993) and Cudding on and Hancock (1994) s udies ocused on he epidemic
in wo coun ies se e ely a ec ed by AIDS (Tanzania and Malawi) and concluded ha
his epidemic would nega i ely a ec he a e age g ow h a e o GDP pe capi a by abou
0,25 pe cen age poin s du ing he pe iod yea 2010. Bloom and Mahal (1997) s udied “51
de eloping and indus ial coun ies” (including Uni ed Kingdom) and again examined
he claim ha AIDS epidemic would “slow he pace o economic g ow h”. Con a y o
wha was expec ed and seen in o he s udies abou his epidemic, hey concluded ha
despi e he epidemic being e y ad anced and ha ing al eady a ec ed many coun ies,
a e “con olling o s anda d in luences on g ow h”, hey did no ind any e idence ha
he economies o he a ec ed coun ies had educed hei g ow h be ween 1980 (1987)
and he ea ly 1990s compa ed o o he coun ies less a ec ed by AIDS. They also ema k
ha hey s udy indica es ha he e was mo e “ lash han subs ance o he claim ha AIDS
impedes na ional economic g ow h”.
Pas s udies by Keogh-B own and Smi h (2008), Beu els e al. (2009) and Lee and
McKibbin (2004) s udied he economic impac o Se e e Acu e Respi a o y Synd ome
(SARS). Acco ding o WHO, SARS was i s epo ed in Asia in Feb ua y 2003, and i
quickly sp ead o 26 coun ies and i was con ained in June 2003, ha is 4 mon hs la e .
18
an app op ia e ime ame. The e is also e idence o nega i e skewness, indica ing ha
FTSE All-Sha e ha e asymme ic e u ns. The ku osis exceeds he no mal alue o 3
demons a ing ha he dis ibu ion o e u ns is hea y- ailed which is expec ed in
inancial e u ns ime se ies. The e u n se ies is non-no mal acco ding o he Ja que-Be a
es which ejec s no mali y a he 1% le el.
Da a on he numbe o COVID-19 epo ed cases and dea hs a he daily le el was
collec ed om he websi e h ps://co ona i us.da a.go .uk. Fo his, we only conside ed
he wo king days. The desc ip i e s a is ics o hese wo me ics can be seen in Table 5.
As we can obse e he mean o he daily dea hs is 208,85, bu we need o ake in o accoun
ha his has been obse ed since he beginning o he COVID-19, i.e. o he yea 2020,
which means ha he minimum in bo h he daily dea hs and new cases is 0 ( he i s
eco ded dea hs in UK we e in Ma ch). The maximum o daily new dea hs egis e ed is
1.224. The mean o he daily new cases is 6.644,60 and he maximum o daily new cases
obse ed be ween Janua y 2020 and Decembe 2020 is 53.135.
3.1.1 COVID-19 Majo E en s in he UK
Since he beginning o he pandemic, many we e he e en s ha a ec ed he wo ld and
mo e speci ically he Uni ed Kingdom. In o de o documen e en s ha may o may no
ha e impac ed s ock ma ke s, a imeline o COVID-19 e en s was ca ied ou h ough he
B i ish Fo eign Policy G oup websi e complemen ed wi h o he news published. (Annex
1)
Decembe 2019
On 21s o Decembe 2019 he i s g oup o pa ien s wi h a pneumonia o unknown o igin
was iden i ied by Chinese epidemiologis s, and on Decembe 31, he Chinese au ho i ies
had al eady con i med dozens o pa ien s wi h his disease. China epo ed hese cases o
WHO, de ec ed in Wuhan.
Janua y 2020
On Janua y 8, 2020 WHO sen a scien i ic eam o China o help s udy he iden i ied
cases. The i s dea h caused by his i al disease was epo ed on Janua y 11,2020.
Acco ding o WHO, he i s cases de ec ed ou side China occu ed in Japan, Sou h Ko ea
and Thailand on Janua y 20 h, 2020. Sho ly he ea e , on Janua y 23 d, 2020 Chinese
Sample: 02/01/2020 12/30/2020
Daily Dea hs Daily Cases
Mean 208,85 6 644,60
Median 59,00 1 805,00
Maximum 1 224,00 53 135,00
Minimum 0,00 0,00
S d. De 280,61 9 763,55
Table 5 - Desc ip i e s a is ics o e u ns o daily new dea hs and daily new cases

19
au ho i ies closed Wuhan. A he end o Janua y he i s wo posi i e cases o co ona i us
appea ed in he UK. WHO decided o conside a global heal h eme gency due o he
eme gence o hund eds o cases in China. The e ha e been 213 dea hs o da e and a ound
9.800 people in ec ed wo ldwide.
Feb ua y 2020
On he i s week o Feb ua y, he i s posi i e co ona i us cases appea ed in Spain and he i s
co ona i us dea h was epo ed ou side China. Uni ed Kingdom ga e indica ions o he English
popula ions o lea e China. On Feb ua y 11 h, he co ona i us disease was called COVID-19. To
da e he e we e 1.113 dea hs in China and 44.653 ac i e cases, while ou side China he e we e
393 cases. On Feb ua y 14 h, F ance announced he i s co ona i us dea h in Eu ope. In I aly,
many cases o co ona i us began o eme ge (+150. On Feb ua y 29 h, UK au ho i ies epo ed he
i s cases o co ona i us disease o igina ed in he UK. I was he wo s week o global s ock
ma ke s since he 2008 inancial c isis.
Ma ch 2020
A he beginning o Ma ch, he Uni ed Kingdom began su e ing mo e complica ions associa ed
wi h he co ona i us, as i announced he la ges inc ease in posi i e cases in one day (+34) and
6 dea hs om COVID-19 wi h 373 cu en ly posi i e cases. On Ma ch 11 h, he US announced
a el es ic ions o Eu opean coun ies (excep UK) o 30 days. I was also on his da e ha
WHO decla ed COVID-19 a pandemic i us. Some o he UK’s bigges spo ing e en s ha e been
pos poned. On Ma ch 16 h, Bo is Johnson ad ises B i ons o wo k om home and a oid pubs and
es au an s in o de o y o coun e he pandemic’s e olu ion. COVID-19 dea hs exceed 55 in
he UK and he e a e 1.543 con i med cases. Schools in he UK closed inde ini ely on Ma ch 18 h.
As o Ma ch 23 d, he e we e 270.000 posi i e cases and abou 1.000 dea hs wo ldwide. On Ma ch
25 h, p ince Cha les es s posi i e o COVID-19. On Ma ch 27 h, 2020, P ime Minis e Bo is
Johnson and Heal h Sec e a y Ma Hancock es posi i e o co ona i us.
Ap il 2020
In Ap il, he numbe o posi i e cases in he wo ld had al eady su passed 1 million. P ime Minis e
Bo is Johnson, on Ap il 6, was admi ed o he in ensi e ca e uni due o wo sening symp oms.
Eu opean ai indus y had dec eased by 90% and he Eu opean inance minis e s me o discuss
he measu es ha would be aken o suppo he Eu opean economy. On Ap il 9 h, UK had he
highes inc ease in dea hs in 24 hou s (+938) and he numbe o con i med dea hs wo ldwide was
100.000. UK P ime Minis e eco e ed and was discha ged om hospi al on he 14 h o Ap il. In
he las hal o Ap il, he numbe o con i med cases in he wo ld had al eady su passed 2 million
and dea hs eached 200.000. UK s a ed wi h he es ing o accines in humans.
May 2020
On May 10 h, he UK s a ed o conside abou a slow decon inemen , which included allowing
ou doo physical exe cise and e u ning o he wo kplace. I was also on his da e ha anyone
a eling o he UK would need o unde go a 14-day qua an ine pe iod. As o May 21s , global
co ona i us cases exceed 5 million. The UK go e nmen announced ha schools would s a o
eopen in June.
20
June 2020
In he i s hal o June, some signs o imp o emen in he pandemic in he UK we e el ,
wi h a dec ease in he numbe o in ec ions/dea hs daily. Globally, con i med cases o
COVID-19 exceeded he 7 million ba ie . On June 17 h, some spo ing e en s s a o
e u n. On June 19 h, UK minis e s we e accused o ying o co e up da a on daily dea hs
by COVID-19, epo ing lowe igu es han ac ual igu es. Heal h au ho i ies on June 24 h
wa ned o he second wa e o he pandemic.
July 2020
On July 10 h, UK ejec ed he o e o join Eu ope’s accina ion p og am. WHO epo ed on July
18 h he la ges inc ease in COVID-19 cases in 24 hou s since he s a o he pandemic. A he
end o July, UK imposed a lockdown in some a eas o he No h o England and also decided no
o go ahead wi h decon inemen , ha ing hus pos poned he opening o some social spaces.
Augus 2020
The UK economy expe ienced a la ge dec ease, o a ound 20,4% be ween he mon hs o Ap il
and June, he bigges dec ease on eco d. The go e nmen decided o change he way o coun
he numbe o dea hs om co ona i us and so on his day he numbe o dea hs had a dec ease
o 5.000 dea hs.
Sep embe 2020
On 8 h Sep embe he UK go e nmen decla es ha he co ona i us has so a , cos a ound
210 billion o UK. On Sep embe 9 h, he UK launched ye ano he es ic ion p ohibi ing
he ga he ing o mo e han 6 people, in an a emp o p e en a second wa e o COVID-
19. Con i med co ona i us cases each 30 million wo ldwide. The ea o a new
con inemen in he UK leads o a dec ease in he p ice o he FTSE 100. On Sep embe
22nd, he UK egis e s he bigges g ow h in new con i med cases and hus new
con ainmen measu es come in o o ce.
Oc obe 2020
On Oc obe 4 h, he UK epo s 22.961 mo e cases in 24 hou s, bu wa ns ha his inc ease
is due o a delay in no i ica ions o con i med cases in p e ious days. A he same ime,
Eu ope con i ms 100.000 new cases wi hin 24 hou s o he i s ime. On Oc obe 30 h
WHO decla ed ha “Eu ope is once again he epicen e o his pandemic”. On Oc obe
31s he UK decla es 4 weeks o na ional con inemen in England, and on ha same day
he UK su passed 1 million ac i e cases o co ona i us.
No embe 2020
On No embe 9 h, P ize announced ha hei accine is 90% e ec i e, while UK accine
expe s said li e should e u n o no mal in he sp ing. On No embe 10 h, he UK epo ed
he highes dea h oll since May. On No embe 16 h, Mode na s udies p o ed ha he
accine p oduced by hem had an e ec i eness o 94,5%. On he same day, he Uni ed
Kingdom placed an o de o a ound 5 million doses o he Mode na accine.On
No embe 20 h, he UK’s heal h minis e announced o he coun y ha he P ize accine
21
should s a being adminis e ed nex mon h. In he UK, con i med cases exceeded 1,5
million. On No embe 30 h, he inal esul s o he es s ca ied ou on he Mode na
accine came ou , p o ing an e icacy o 94%.
Decembe 2020
By ea ly Decembe he UK dea h oll o COVID-19 had exceeded 60.000. The UK has
also begun adminis e ing P ize /BioNTech accines in addi ion o clinical ials. In he
las ew days o Decembe , he UK eco ded mo e han 50.000 in ec ions in 24 hou s o
he i s ime since he s a o he pandemic. On Decembe 30 h, he UK go e nmen
announced ha i was p io i izing he i s dose in o de o con ain he sp ead o he i us.
On Decembe 31s , he WHO lis s he P ize /BioNTech accines o eme gency use,
causing coun ies o app o e he use o he accines mo e quickly.
3.2 Va iables
In o de o analyse ou da a we de ined a iables ha allow us o answe he esea ch
ques ions. S a ing wi h he ques ions “Did COVID-19 impac he UK’s s ock ma ke ?”
and “I so, wha we e he impac s?” we de ined he a iable c1, (dummy a iable ha
akes alue o 1 i belongs o he ime a e he 29 h o Janua y 2020 which is he day
ha UK con i med he i s wo cases o COVID-19) and 0 o he wise. The a iable px, ,
whe e x=1,…,26 (whe e x=1 ep esen s he i s o nigh a e 21s o Decembe 2019
which is he day ha China con i med he i s cases o COVID-19, x=2 ep esen s he
second o nigh , e c.), co esponds o he x dummy a iables ha ake he alue o 1 i
belongs o he ime ame ep esen ed by x and allow us o answe he ques ions “Did
COVID-19 had a momen a ily impac on he UK’s s ock ma ke ?”, and “I so, wha we e
he impac s?”. We will also y o ela e hese possible impac s o he COVID-19 calenda
o e en s e e enced
Finally, we ha e he a iable daily_dea hs ha assumes he alue o he daily numbe o
dea hs in he UK by COVID-19. Ou s udy aims o s udy he impac o he numbe o
dea hs only on weekdays whe e ma ke alues a e also eco ded, so we ook in o accoun
only he da a o weekday dea hs. This will allow us o answe he ques ion“How does he
numbe o dea hs impac he UK s ock ma ke p ices?”. The same app oach will be used
o he daily_cases a iable, o answe he ques ion “How does he numbe o daily cases
impac he UK s ock ma ke p ices?”
3.3 Main Me hodology
The mos commonly used model o es ima ing an equa ion ha ela es one o mo e
a iables in econome ics is he o dina y leas squa es (OLS) model, bu his model does
no i well o da a ha su e om he e oscedas ici y, i.e., da a whe e he e is an i egula
pa e n in he a iance o he e o e m. Since in ou s udy we a e analysing s ock e u ns,
we allow a iance o e o s o be ime dependen and he e o e we need a model ha
allows he e oscedas ic da a. As Bolle sle (1986) s udied, he ARCH (Au o eg essi e
22
Condi ional He e oskedas ic) p ocess ha was in oduced by Engle (1982) “allows he
condi ional a iance o change o e ime as a unc ion o pas e o s”. The e a e al eady
some s udies ha ha e demons a ed he use ulness and e iciency o modelling economic
da a wi h his ARCH, such as Engle (1983), Engle and K a (1983) and Coulson and
Robins (1985). Bolle sle (1986) s udied a mo e gene alized p ocess o ARCH, which is
GARCH (Gene alized Au o eg essi e Condi ional He e oskedas ic), “ ha allows a much
mo e lexible lag s uc u e”.
Gi en ha some ime se ies exhibi a iable a iance o e ime, a o mula ha would
ep esen such p ocesses ma hema ically could be gi en by:
e
!= z!$
s
!
whe e e
!
deno e he unexpec ed e u ns o he model,
z!$
is a whi e-noise p ocess, and s
!
is a ime-dependen s anda d de ia ion. The gene alized ARCH, o GARCH (p,q), model
o Bolle sle (1986) was a guably one o he mos impo an pa ame iza ions.
(Balak ishnan, 2010). The s anda d de ia ion can be desc ibed by ARCH (p) model as
σ
2=%α0+"
#b
i
!
"#$
s
−1
Following he no a ion om (3) we can see ha s
!
can also be de ined by GARCH(p,q)
whe e p is he o de o ARCH e ms (e2) and q is he o de o GARCH e ms (s2)
σ
2=%α0+"
#
αi
%
"#$
ε −1
2+"
#b
i
!
"#$
σ −1
2
Whe e
ε −1
2
a e he squa ed unexpec ed e u ns o he p e ious pe iod,
α0,αi
and b
i
> 0
in o de o gua an y ha he condi ional a iance is s ic ly posi i e. Also ∑
αi
%
"#$ +"
∑b
i
!
"#$
< 1 should be e i ied in o de o sa is y he s a iona y o he condi ional a iances.
Fu he mo e, he model GARCH (1,1) has been shown by Baillie & Bolle sle (1991) o
i well unde inancial ime se ies, hus we choose his as ou model. The e o e, we ge
he ollowing GARCH (1,1) equa ion:
σ
2= α0+ α1σ −1
2+ α2ε −1
2
Whe e
σ
2
and
σ −1
2
a e he a iance o he index e u ns o day and -1 espec i ely, and
α0
,
α1
and
α2
a e he GARCH model coe icien s.
In o de o es and being able o answe ou esea ch ques ions we es ima e he ollowing
eg ession equa ion using he Quasi-maximum likelihood me hod s udied by Bolle sle
and Woold idge (1992):
(4)
(2)
(3)
(5)
23
= b0+
#
bxAx,
&
x=1
+ ε "
= b0+ B + ε
Whe e
ep esen s he daily log e u n o he FTSE All-Sha e index be ween -1 and ,
whe e Ax, is a dummy a iable ha akes he alue 1 when he day belongs o a ce ain
ime ame ep esen ed by x and 0 o he wise and whe e B ep esen s a nume ic a iable
a day .
3.4 Hypo hesis
In o de o answe he i s esea ch ques ions which a e “Did COVID-19 impac he UK’s
s ock ma ke ?” and “I so, wha we e he impac s?” we ha e o es he hypo hesis ha
p e COVID-19 daily e u ns di e om daily e u ns du ing he COVID-19 pe iod as
such we will ha e o es ima e he ollowing equa ion:
= b0+ b1c1, + ε
Conside ing he second ques ion “Did COVID-19 had a momen a ily impac on he UK’s
s ock ma ke ?” and “I so, wha we e he impac s?” we sequen ially es whe he he
e u n o each o nigh di e om p e COVID alues. The es ima ed equa ion will be:
= c0+
#
c px,
'(
x=1
+ ε
We will also es whe he he daily e u ns o FTSE-All Sha e di e conside ing he
numbe o daily dea hs/daily new cases in o de o answe he ques ion “How does he
numbe o dea hs impac he UK s ock ma ke p ices?” and “How does he numbe o
daily cases impac he UK s ock ma ke p ices?”, by es ima ing he ollowing equa ions:
= d0+ d1daily_dea hs + ε
= 0+ 1daily_cases + ε
Empi ical Resul s
(6)
(7)

24
25
4 Resul s and Discussion
Be o e analysing he esul s om he GARCH (1,1) model we decided o do a
p elimina y analysis based on he g aph o he daily alues o he FTSE All-Sha e Index
and on he g aph o he log daily e u ns o his same index. Analysing G aph 4 a), we
can see ha un il Janua y 2020, he FTSE All-Sha e p ices we e successi ely inc easing,
s a ing a a ound £2400 and eaching £4400 in 2019, bu wi h he s a ing o he yea
2020 i dec eased abou 35%, o p ices be ween £2500 and £3500. Looking a G aph 4
b) i appea s ha e u ns s a o be mo e ola ile om he second hal o Ma ch 2020.
These obse a ions may indica e a possible impac o COVID-19.
Taking his in o accoun , we will analyse o each objec i e ques ion he espec i e
coe icien s and analyse whe he hey a e s a is ically signi ican . Taking in o accoun he
esul s in Table 6, we can see ha o he a iable c1 ( ha helps us o answe he ques ions
“Did COVID-19 impac he UK’s s ock ma ke ?” and “I so, wha we e he impac s”) we
ha e a coe icien ha i is no s a is ically signi ican a 1%, 5% and 10% le el and o
ha eason we do no ejec H0, which means ha we canno assume ha he e is su icien
s a is ical signi icance o a i m ha he COVID-19 impac ed he UK s ock ma ke
G aph 4 - Daily FTSE All-Sha e s ock ma ke index. a) display daily obse a ions on he
p ice o he FTSE All-Sha e index, o e he pe iod Janua y 2010 h ough Decembe 2020. b)
display he daily e u n o he FTSE All-Sha e index, o e he pe iod Janua y 2010
26
e u ns. These esul s a e in line wi h Nippani and Washe (2009), ha con a ily oo he
au ho s ha s udied he impac o SARS on inancial ma ke s, concluded ha he e was
no e idence ha his epidemics had nega i e e ec s on mos inancial ma ke s.
Conside ing he COVID-19 s udies, ou esul s di e wi h he ones om Nia (2020), Ali
e al. (2020) s udies ha conclude ha his pandemic nega i ely a ec ed he s ock
ma ke s. Howe e , i should be no ed ha hese s udies we e done wi h sho e ime
ames (a ound 3 mon hs) han he one used in ou s udy, hus his may be a possible
explana ions o he esul s di e ences. Fo ins ance, Koo and Fu (2003) concluded ha
he SARS epidemic had limi ed and empo a y economic impac s, which leads us o he
nex esea ch ques ion in o de o y o ind a a momen a ily impac .
Using he same app oach o he second and hi d esea ch ques ions “Did COVID-19
had a momen a ily impac on he UK’s s ock ma ke ?”, “I so, wha we e he impac s?”
and aking in o accoun he a iables de ined be o e (p ), we ob ain he esul s in Table 7.
The only a iables o which he p- alue is s a is ically signi ican a 1%, 5% and 10%
con idence le el a e p5, p6, p19, p23, his migh mean ha o hese o nigh s he UK s ock
ma ke was a ec ed by COVID-19 e en s. Va iables p5 and p6 p esen a nega i e
coe icien o -0,014385 and -0,04273 espec i ely, which means ha he e is a nega i e
and s a is ically signi ican impac on hese espec i e o nigh s. We can say ha he
e u n o o nigh p5 ( ecalling 5 o nigh s a e he day China con i med he i s case
o COVID-19, 21s Decembe ) is 1,4 pe cen age poin s lowe han he e u n seen in he
p e-COVID-19 pe iod. Looking a he able in Annex 1, we can obse e ha in o nigh
5 se e al e en s may be linked o his a ia ion, such as he appea ance o he i s case
o co ona i us disease o igina ing om he UK, o e en he ac ha he Uni ed Kingdom
eco ded he la ges inc ease in new cases o da e. We can each he same conclusion o
a iable p6, he e u n o he o nigh is 4,3 pe cen age poin s lowe han he e u n seen
in he p e-COVID-19 pe iod. Re e ing again o he able in Annex 1, we can see ha
du ing he six h o nigh he WHO decla ed COVID-19 a pandemic which g ea ly
ala med he s ock ma ke s. O he e en s included one o he bigges spo ing e en s in
UK being pos poned and some lockdown measu es being applied c ea ing some panic in
he coun y. Fo a iable p19 we can also obse e a s a is ically signi ican nega i e
impac wi h a coe icien o -0,007016, i.e. o nigh 19 has a e u n o 0,7 pe cen age
poin s below he p e-co id pe iod, howe e his di e ence is smalle han ha p esen ed
in o nigh s 5 and 6. Analysing Annex 1 we can obse e ha in hese wo weeks signs o
a new lockdown s a ed o appea and he Uni ed Kingdom egis e ed he highes g ow h
o new con i med cases. We can obse e ha in p23 ( ep esen ing he days be ween 5 h o
No embe 2020 and 18 h o No embe 2020) we ha e a signi ican and posi i e impac
in he UK s ock ma ke compa ing wi h p e COVID-19 pe iod wi h a u he 1 pe cen age
poin e u n. In hese wo weeks he i s news abou he accina ion began o appea .
Table 6 - GARCH Ou pu : Va iable c1
Va iable Coe icien
c0,000391***
c1 -0,000546
No es: ***,**,* deno e signi icance a 1%, 5% and 10% espec i ely.
27
P ize i s announced ha hei accine was 90% e ec i e, while s udies by Mode na
con i med a accine e ec i eness o 94,5%. Al hough he UK has seen he highes
numbe o dea hs since May 2020 also du ing hese wo weeks, news came ou ha he
UK had al eady o de ed 5 million accines om Mode na and ha accina ion would
s a in Decembe . The a i al o his news p obably b ough a elie in in es o s’
expec a ions.
In o de o be able o p e-analyse whe he he e migh be any ela ionship be ween he
numbe o daily dea hs/daily cases and he daily e u ns o he FTSE All-Sha e we ha e
made 3 g aphs. G aph 5 shows he daily e u ns o he index o he in e al om
01/02/2020 o 30/12/2020. G aph 6 shows he daily dea hs eco ded by COVID-19 and
G aph 7 shows he daily con i med cases o COVID-19. The igu es sugges ha daily
e u ns a e ela ed o he daily con i med dea hs caused by COVID-19 since he index
e u ns s a o be mo e ola ile as he g ow h o con i med dea hs s a s o inc ease. This
is only isible in he i s ise in he numbe o dea hs be ween Ma ch and Ap il, and om
Oc obe onwa ds he same conclusion canno be d awn. Rega ding he numbe o new
daily con i med cases, he e does no appea o be any ela ionship wi h he daily index
e u ns.
Table 7 - GARCH Ou pu : Va iable p
Va iable Coe icien
c0,000406***
p1 -0,000655
p2 0,000515
p3 -0,002271
p4 -0,000668
p5 -0,014385***
p6 -0,04273***
p7 0,006714
p8 0,004726
p9 -0,001535
p10 0,003966
p11 0,001227
p12 -0,000085
p13 -0,003223
p14 0,000131
p15 -0,000907
p16 -0,000761
p17 -0,001719
p18 -0,000402
p19 -0,007016***
p20 0,001439
p21 -0,002434
p22 -0,000639
p23 0,010402***
p24 0,001565
p25 0,00082
p26 -0,00116
No es: ***,**,* deno e signi icance a 1%, 5% and 10% espec i ely.
34
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40
Annex 1 – Timeline
COVID-19
px
Da e
E en
p1
21s Dec 2019
Fi s g oup o pa ien s wi h a pneumonia o unknown o igin iden i ied by Chinese
epidemiologis s
31s Dec 2019
Chinese au ho i ies con i med hey we e ea ing dozen o pa ien s wi h hese pneumonia
o unknown o igin.
China epo s o WHO he con i med cases o pneumonia, de ec ed in Wuhan.
8 h Jan 2020
The Chinese go e nmen ag ees o accep a WHO scien i ic eam o assis hei own
esea ches.
p2
11 h Jan 2020
Chinese s a e media epo ed he i s known dea h om an illness caused by he i us
20 h Jan 2020
Acco ding o WHO, he i s cases de ec ed ou side China occu ed in Japan, Sou h Ko ea
and Thailand.
p3
23 d Jan 2020
Chinese au ho i ies closed Wuhan, ips ou o he ci y we e cancelled and public
anspo s wi hin he ci y we e suspended.
29 h Jan 2020
Fi s wo posi i e cases o co ona i us appea ed in he UK.
30 h Jan 2020
WHO decides o conside a global heal h eme gency due o he eme gence in he UK.
31s Jan 2020
213 dea hs o da e and 9.800 people in ec ed wo ldwide.
1s Feb 2020
The i s posi i e cases appea ed in Spain
2nd Feb 2020
The i s dea h o co ona i us is epo ed ou side China
4 h Feb 2020
The UK gi e indica ions o he ci izens o lea e China.
p4
11 h Feb 2020
The disease is named COVID-19.
1.113 dea hs in China and 44.653 ac i e cases, while ou side China he e is 393 cases
14 h Feb 2020
F ance announces he i s co ona i us dea h in Eu ope.
p5
23 d Feb 2020
Many cases begin o eme ge in I aly (+150)
I aly in oduces s ic es ic ions
29 h Feb 2020
UK au ho i ies epo ed he i s case o co ona i us disease o igina ed in he UK.
The wo s week o he global s ock ma ke s since 2008 inancial c ash
The WHO aises he co ona i us ale o he highes le el
4 h Ma ch 2020
Uni ed Kingdom announced he la ges inc ease in posi i e cases in one day (+34)
p6
10 h Ma ch 2020
6 dea hs om COVID-19 wi h 373 cu en ly posi i e cases in he UK
11 h Ma ch 2020
US announced a el es ic ions o Eu opean coun ies (excep UK) o 30 days.
S ock ma ke s con inued o c ash.
WHO decla ed COVID-19 a pandemic i us
13 h Ma ch 2020
UK’s bigges spo ing e en s ha e been pos poned
16 h Ma ch 2020
Bo is Johnson ad ises B i ons o wo k om home and a oid pubs and es au an s in o de
o y o coun e he pandemic’s e olu ion
The UK’s dea h oll ises o 55, wi h 1,543 con i med cases, hough i is belie ed 10,000
people ha e al eady been in ec ed.
17 h Ma ch 2020
F ance has al eady had 6.500 in ec ed people and 140 dea hs and ha is why i imposed
he lockdown.
T a el es ic ions s a in Eu ope o 30 days
18 h Ma ch 2020
The UK go e nmen announce ha schools in he UK will be shu down om F iday
un il u he no ice.
p7
20 h Ma ch 2020
The UK go e nmen o de ed he closu e o pubs, es au an s, gyms and o he social
spaces ac oss he coun y.
Annex 1 – Timeline COVID-19
41
The chancello announces o he coun y ha he go e nmen will pay a ound 80% o he
wages o wo ke s a ec ed by he pandemic.
23 d Ma ch 2020
P ime Minis e Bo is Johnson says ha B i ons should only go ou side o easons o
ex eme necessi y. Fo hose who do no comply wi h hese es ic ions he e will be
police measu es.
The e we e 270.000 posi i e cases and abou 1.000 dea hs wo ldwide
25 h Ma ch 2020
P ince Cha les es s posi i e o he co ona i us.
27 h Ma ch 2020
P ime Minis e Bo is Johnson and Heal h Sec e a y Ma Hancock es posi i e o
co ona i us
p8
2nd Ap il 2020
Numbe o posi i e cases in he wo ld had al eady su passed 1 million
6 h Ap il 2020
P ime Minis e Bo is Johnson was admi ed o he in ensi e ca e uni due o wo sening
symp oms
7 h Ap il 2020
Eu opean inance minis e s me o discuss he measu es ha would be aken o suppo
he Eu opean economy
The Eu opean ai indus y had dec eased by 90%
9 h Ap il 2020
UK has he highes inc ease in dea hs in 24 hou s (+938)
10 h Ap il 2020
he numbe o con i med dea hs wo ldwide su passes 100.000
14 h Ap il 2020
UK P ime Minis e eco e ed and was discha ged om hospi al
15 h Ap il 2020
The numbe o con i med cases in he wo ld has al eady su pass 2 million
p9
23 d Ap il 2020
UK s a ed wi h he es ing o accines in humans
25 h Ap il 2020
Wo ldwide COVID-19 dea hs each 200,000.
p10
10 h May 2020
UK s a s o hink abou a slow decon inemen , which includes allowing ou doo physical
exe cise and e u ning o he wo kplace
UK go e nmen announces ha anyone a eling o he UK will need o unde go a 14-day
qua an ine pe iod.
p11
21s May 2020
Global co ona i us cases exceed 5 million
24 h May 2020
UK go e nmen announces ha schools will s a o eopen in June.
1s June 2020
UK eco ds lowes inc ease in COVID-19 daily dea hs and in ec ions since he end o
Ma ch.
p12
9 h June 2020
UK eco ds lowes daily COVID-19 dea h oll since Ma ch 22nd, wi h 55 dea hs.
Con i med cases o COVID-19 exceed he 7 million ba ie , wo ldwide.
p13
17 h June 2020
Some spo ing e en s s a o e u n, such as he English P emie League oo ball.
19 h June 2020
UK minis e s a e accused o ying o co e up da a on daily dea hs by COVID-19,
epo ing lowe igu es han ac ual igu es.
24 h June 2020
Heal h au ho i ies wa n o he second wa e o he pandemic.
Volun ee s om he UK, B azil and Sou h A ica begin o ecei e injec ions o he
accine de eloped by he Uni e si y o Ox o d.
p14
10 h July 2020
UK ejec s he o e o join Eu ope’s accina ion p og am.
p15
18 h July 2020
WHO epo s he la ges inc ease in COVID-19 cases in 24 hou s since he s a o he
pandemic.
p16
30 h July 2020
UK imposed a lockdown in some a eas o he No h o England
31s July 2020
UK go e nmen decides no o go ahead wi h he decon inemen , ha ing hus pos poned
he opening o some social spaces.
p17
12 h Augus 2020
UK economy expe ienced a la ge dec ease, o a ound 20,4% be ween he mon hs o Ap il
and June, he bigges dec ease on eco d.
The go e nmen decided o change he way o coun he numbe o dea hs om
co ona i us and so on his day he numbe o dea hs has a dec ease o 5.000 dea hs.
p18
8 h Sep embe
2020
UK go e nmen decla es ha he co ona i us has so a , cos a ound 210 billion o UK
42
9 h Sep embe
2020
UK launched ye ano he es ic ion p ohibi ing he ga he ing o mo e han 6 people, in an
a emp o p e en a second wa e o COVID-19
p19
18 h Sep embe
2020
Con i med co ona i us cases each 30 million wo ldwide
19 h Sep embe
2020
B i ish doc o s a e hus wa ning he UK go e nmen o igh e es ic ions as he
pandemic e ol es
21s Sep embe
2020
The ea o a new con inemen in he UK leads o a dec ease in he p ice o he FTSE 100
22nd Sep embe
2020
UK egis e s he bigges g ow h in new con i med cases and hus new con ainmen
measu es come in o o ce
p20
4 h Oc obe 2020
UK epo s 22.961 mo e cases in 24 hou s, bu wa ns ha his inc ease is due o a delay in
no i ica ions o con i med cases in p e ious days
p21
9 h Oc obe 2020
Eu ope con i ms 100.000 new cases wi hin 24 hou s o he i s ime
p22
30 h Oc obe
2020
WHO decla ed ha “Eu ope is once again he epicen e o his pandemic”
31s Oc obe 2020
UK decla es 4 weeks o na ional con inemen in England
UK su passes 1 million ac i e cases o co ona i us
p23
9 h No embe
2020
P ize announced ha hei accine is 90% e ec i e
UK accine expe s said li e should e u n o no mal in he sp ing
10 h No embe
2020
UK epo ed he highes dea h oll since May.
16 h No embe
2020
Mode na s udies p o ed ha he accine p oduced by hem had an e ec i eness o 94,5%
Uni ed Kingdom placed an o de o a ound 5 million doses o he Mode na accine.
18 h No embe
2020
Upda e on he e icacy o he P ize and BioNTech accine, which goes om 90% o
95%
p24
20 h No embe
2020
UK’s heal h minis e announced o he coun y ha he P ize accine should s a being
adminis e ed nex mon h.
22nd No embe
2020
In he UK, con i med cases exceeded 1,5 million.
30 h No embe
2020
inal esul s o he es s ca ied ou on he Mode na accine came ou , p o ing an e icacy
o 94% and i was also indica ed ha he people who pa icipa ed in he es s o his
accine had no de eloped any se ious disease.
p25
3 d Decembe
2020
UK dea h oll o COVID-19 had exceeded 60.000
8 h Decembe
2020
UK has also begun adminis e ing P ize /BioNTech accines in addi ion o clinical ials
p26
28 h Decembe
2020
Uk epo s o e 40,000 cases in 24 hou s o he i s ime since he s a o he pandemic.
29 h Decembe
2020
UK eco ded mo e han 50.000 in ec ions in 24 hou s o he i s ime since he s a o
he pandemic
30 h Decembe
2020
UK go e nmen announced ha i was p io i izing he i s dose in o de o con ain he
sp ead o he i us.
31s Decembe
2020
WHO lis s he P ize /BioNTech accines o eme gency use, causing coun ies o
app o e he use o he accines mo e quickly.
43