Efficiency of communities and financial markets during the 2020 pandemic

TL;DR

This study examines how community mobility and financial markets in 20 countries responded to COVID-19, revealing that financial indices responded faster and mobility data was less effective as a leading indicator during the pandemic.

Contribution

It provides a comparative analysis of COVID-19, mobility, and financial data trajectories, highlighting the quicker response of financial markets and questioning the utility of mobility data as a predictor.

Findings

Financial indices responded quicker to COVID-19 surges.

Mobility data and financial indices showed high trajectory similarity.

Mobility data was less effective as a leading indicator for markets.

Abstract

This paper investigates the relationship between the spread of the COVID-19 pandemic, the state of community activity, and the financial index performance across 20 countries. First, we analyze which countries behaved similarly in 2020 with respect to one of three multivariate time series: daily COVID-19 cases, Apple mobility data and national equity index price. Next, we study the trajectories of all three of these attributes in conjunction to determine which exhibited greater similarity. Finally, we investigate whether country financial indices or mobility data responded quicker to surges in COVID-19 cases. Our results indicate that mobility data and national financial indices exhibited the most similarity in their trajectories, with financial indices responding quicker. This suggests that financial market participants may have interpreted and responded to COVID-19 data more efficiently than governments. Further, results imply that efforts to study community mobility data as a leading indicator for financial market performance during the pandemic were misguided.