COVID-19 and stock market volatility: An industry level analysis

COVID-19 has had significant impact on US stock market volatility. This study focuses on understanding the regime change from lower to higher volatility identified with a Markov Switching AR model. Utilizing machine learning feature selection methods, economic indicators are chosen to best explain c...

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Detalles Bibliográficos
Autores principales: Baek, Seungho, Mohanty, Sunil K., Glambosky, Mina
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7467874/
https://www.ncbi.nlm.nih.gov/pubmed/32895607
http://dx.doi.org/10.1016/j.frl.2020.101748
Descripción
Sumario:COVID-19 has had significant impact on US stock market volatility. This study focuses on understanding the regime change from lower to higher volatility identified with a Markov Switching AR model. Utilizing machine learning feature selection methods, economic indicators are chosen to best explain changes in volatility. Results show that volatility is affected by specific economic indicators and is sensitive to COVID-19 news. Both negative and positive COVID-19 information is significant, though negative news is more impactful, suggesting a negativity bias. Significant increases in total and idiosyncratic risk are observed across all industries, while changes in systematic risk vary across industry.

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