COVID-19 and the United States financial markets’ volatility

We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P...

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Detalles Bibliográficos
Autor principal: Albulescu, Claudiu Tiberiu
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Author. Published by Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7382338/
https://www.ncbi.nlm.nih.gov/pubmed/32837380
http://dx.doi.org/10.1016/j.frl.2020.101699
Descripción
Sumario:We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.

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