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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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
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author Albulescu, Claudiu Tiberiu
author_facet Albulescu, Claudiu Tiberiu
author_sort Albulescu, Claudiu Tiberiu
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description 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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spelling pubmed-73823382020-07-28 COVID-19 and the United States financial markets’ volatility Albulescu, Claudiu Tiberiu Financ Res Lett Article 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. The Author. Published by Elsevier Inc. 2021-01 2020-07-25 /pmc/articles/PMC7382338/ /pubmed/32837380 http://dx.doi.org/10.1016/j.frl.2020.101699 Text en © 2020 The Author Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Albulescu, Claudiu Tiberiu
COVID-19 and the United States financial markets’ volatility
title COVID-19 and the United States financial markets’ volatility
title_full COVID-19 and the United States financial markets’ volatility
title_fullStr COVID-19 and the United States financial markets’ volatility
title_full_unstemmed COVID-19 and the United States financial markets’ volatility
title_short COVID-19 and the United States financial markets’ volatility
title_sort covid-19 and the united states financial markets’ volatility
topic Article
url 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
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