The impact of the Covid-19 pandemic on country risks: A comparative analysis within the framework of the international CAPM

This study on the effect of the COVID-19 pandemic on country beta is for seven selected countries from the MSCI world index USA, UK, France, Germany, Italy, Japan, and Australia. This study covers the period (2017-2019) and post-COVID-19 (2020 - June 2022). In this study, the monthly beta coefficient was calculated for the period (2017-2019) and the period (2020- June 2022) using International Capital Asset Pricing Model ICAPM. In addition, an independent sample t-test and a dummy regression test were used to determine whether the country's mean beta differed between the two periods. As a result, a statistically significant difference was found for the countries according to the independent sample t-test UK, Germany, Japan, and Australia. According to the dummy regression test for Germany and Australia, a difference was found between the countries. The effect of independent variables of COVID-19 cases (CC) and (CD) on the country beta was investigated using multiple linear regression for the period (2020- June 2022); there was a significant effect of (CC) in the USA only. In addition, there was a significant effect of (CD) in the UK, France, Germany, Italy, and Australia. Also, the effect of independent variables of (CC) and (CD) on the country's beta was investigated using the granger causality test for the period (2020- June 2022). The results show that there is a significant effect in the USA, UK, Germany, Italy, and Japan.