University of Tehran Iranian Economic Review 1026-6542 28 4 2024 12 01 Stock Markets and Exchange Rates throughout the COVID-19 Pandemic: Other Evidences for Italy and China Case 1425 1447 100293 10.22059/ier.2024.353353.1007609 EN Rym Regaïeg SEPAL ISG Tunis Lab., Higher Institute of Management of Tunis, University of Tunis, Tunis, Tunisia. Amal Jmaii LAREQUAD Lab., Faculty of Economics and Management of Tunis, University of Tunis El Manar (UTM), Tunis, Tunisia. Nidhal Mgadmi THEMA Lab., Faculty of Economics and Management of Mahdia, University of Monastir, Monastir, Tunisia. Journal Article 2023 01 21 This paper examines the impact of change in COVID-19 cases/deaths on stock market and exchange rate using daily data covering the period between 31 December 2019 and 12 March 2020, of Italy and China. Founded on the Markov Regime Switching model, we identified two stress regimes: normal stress regime and high stress regime. Threshold VAR Model is used to differentiate the exchange rate and stock market prices dynamics between normal stress regime and high stress regime. We found that of COVID-19 pandemic have no/weakly impact on Chinese and Italian national currencies but can negatively influence stock market prices. The contribution of this framework is the setting of an estimated threshold value of number of death/cases COVID-19 above it we consider a high stress period. These findings are very important for policymakers in order to predict sanitary pandemic effects such as COVID-19 on the global markets and help in policies perception of fighting against any sanitary pandemic. https://ier.ut.ac.ir/article_100293_1fe6a76dd55b9000efcdf61b9c436fc9.pdf