The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic

The main purpose of this paper is to investigate whether the Infectious Disease EMV tracker (IDEMV) proposed by Baker et al. (2020) has additional predictive ability for European stock market volatility during the COVID-19 pandemic. The three European stock markets we consider are France, UK and Ger...

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Detalles Bibliográficos
Autores principales: Li, Yan, Liang, Chao, Ma, Feng, Wang, Jiqian
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7467939/
https://www.ncbi.nlm.nih.gov/pubmed/32908465
http://dx.doi.org/10.1016/j.frl.2020.101749
Descripción
Sumario:The main purpose of this paper is to investigate whether the Infectious Disease EMV tracker (IDEMV) proposed by Baker et al. (2020) has additional predictive ability for European stock market volatility during the COVID-19 pandemic. The three European stock markets we consider are France, UK and Germany. Our investigation is based on the HAR and its augmented models. We find that the IDEMV has stronger predictive power for the France and UK stock markets volatilities during the global pandemic, and the VIX has also superior predictive ability for the three European stock markets during this period.

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