Description:
We consider the impact of the Covid19 Pandemic on major stock-markets. We first apply a structural break testing procedure in order to identify the date of initial impact. We then estimate the magnitude of the impact using an extended form of the GARCHX model. The overall impact is decomposed into two measures: the initial impact; and the 'half-life' of the shock. We find that countries with low initial impact but a long half-life tend to be emerging markets, while those with high initial impact and short half-life tend to be developed economies with well established stock-markets