Deciphering the Impact of COVID-19 on Korean Sector ETFs: Insights from an ARIMAX and Granger Causality

Choi, Insu; Lee, Tae Kyoung; Park, Sungsu; Shin, Kyeong Soo; Lee, Suin; Kim, Woo Chang

doi:10.3390/systems13080678

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Deciphering the Impact of COVID-19 on Korean Sector ETFs: Insights from an ARIMAX and Granger Causality

by

Insu Choi

^1,†

,

Tae Kyoung Lee

^2,†,

Sungsu Park

^2,†,

Kyeong Soo Shin

^2,†,

Suin Lee

^2,† and

Woo Chang Kim

^1,*

¹

Department of Industrial and Systems Engineering, Korea Advanced Institute of Science and Technology, Daejeon 34141, Republic of Korea

²

Department of Industrial and Management Systems Engineering, Kyung Hee University, Yong-in 17104, Republic of Korea

^*

Author to whom correspondence should be addressed.

^†

These authors contributed equally to this work.

Systems 2025, 13(8), 678; https://doi.org/10.3390/systems13080678 (registering DOI)

Submission received: 30 June 2025 / Revised: 30 July 2025 / Accepted: 6 August 2025 / Published: 9 August 2025

(This article belongs to the Special Issue Data Analytics for Social, Economic and Environmental Issues)

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Abstract

The COVID-19 pandemic caused major disruptions to worldwide financial markets, which resulted in market instability and unpredictability. South Korean investors used sector-specific exchange-traded funds (ETFs) to handle the market challenges. This research examines the connection between COVID-19 statistics, including total confirmed cases and deaths, and Korean sector ETF market performance. The research uses the ARIMAX model to evaluate how external variables affect ETF price volatility. The research uses Granger causality tests to determine the direction of relationships between pandemic metrics and sectoral performance, while K-means clustering identifies patterns across different sectors. The analysis reveals significant statistical connections between pandemic disruptions and three sectors, including communication services, healthcare, and IT. The research shows that COVID-19 metrics strongly affected the performance of sector-specific ETFs throughout the analyzed time period. The research establishes a basis for additional studies about external shock effects on financial instruments and delivers valuable information to investors and policymakers who need to manage global crisis risks.

Keywords: COVID-19; ARIMAX model; Granger causality; Korean financial markets; external shocks

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MDPI and ACS Style

Choi, I.; Lee, T.K.; Park, S.; Shin, K.S.; Lee, S.; Kim, W.C. Deciphering the Impact of COVID-19 on Korean Sector ETFs: Insights from an ARIMAX and Granger Causality. Systems 2025, 13, 678. https://doi.org/10.3390/systems13080678

AMA Style

Choi I, Lee TK, Park S, Shin KS, Lee S, Kim WC. Deciphering the Impact of COVID-19 on Korean Sector ETFs: Insights from an ARIMAX and Granger Causality. Systems. 2025; 13(8):678. https://doi.org/10.3390/systems13080678

Chicago/Turabian Style

Choi, Insu, Tae Kyoung Lee, Sungsu Park, Kyeong Soo Shin, Suin Lee, and Woo Chang Kim. 2025. "Deciphering the Impact of COVID-19 on Korean Sector ETFs: Insights from an ARIMAX and Granger Causality" Systems 13, no. 8: 678. https://doi.org/10.3390/systems13080678

APA Style

Choi, I., Lee, T. K., Park, S., Shin, K. S., Lee, S., & Kim, W. C. (2025). Deciphering the Impact of COVID-19 on Korean Sector ETFs: Insights from an ARIMAX and Granger Causality. Systems, 13(8), 678. https://doi.org/10.3390/systems13080678

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Deciphering the Impact of COVID-19 on Korean Sector ETFs: Insights from an ARIMAX and Granger Causality

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