The impact of the S&P 500 and Nasdaq OMXS on the financial markets amidst the COVID-19 pandemic: Time Series Analysis.

Abstract

This undergraduate thesis investigates the relationship between the S&P 500 American Stock Exchange Index and the Swedish Nasdaq OMXS indices during the COVID-19 pandemic. The study explores how an exogeneous shock, such as the outbreak of COVID-19 impacts the interaction between a large market economy and a smaller market economy focusing on distinct time periods: the pre-COVID-19 period, the pandemic period and the post-COVID-19 period. Additionally the study provides an analysis of the entire period. By analysing the fluctuations in the stock returns across distinct frames, this research aims to provide new insights into the dynamics of the two market interactions and offer guidance on optimal resource allocation for investors during periods of economic uncertainty To analyse the relationship between the market indices, the study employs statistical methodologies such as Pearson Correlation Coefficient and Granger Causality test to asses both the correlation and causality between the S&P 500 and Nasdaq OMXS indices. The data is sourced from Nasdaq OMX Nordic and Yahoo Finance, the analysis is conducted using statistical software. The empirical results indicates Granger causality from the S&P 500 to the OMXS30 in the pre-pandemic and pandemic period. Furthermore the Pearson correlation coefficients reveal moderate positive correlation for the sub-periods and a strong positive correlation for the entire period.