In this note, we examine the impact that the COVID-19 crisis may have on the Asian stock markets by examining the statistical properties of three financial markets in Asia: namely, the Korean SE Kospi Index, the Japanese Nikkei 225, and the Chinese Shanghai Shenzhen CSI 300 Index. Using fractional integration methods, the results based on daily data indicate that mean reversion and thus transitory effects of shocks occur in the Nikkei 225 index. However, for the Kospi and Shanghai Shenzhen indices, this hypothesis is rejected, implying that shocks are permanent.
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