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
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author Li, Yan
Liang, Chao
Ma, Feng
Wang, Jiqian
author_facet Li, Yan
Liang, Chao
Ma, Feng
Wang, Jiqian
author_sort Li, Yan
collection PubMed
description 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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spelling pubmed-74679392020-09-03 The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic Li, Yan Liang, Chao Ma, Feng Wang, Jiqian Financ Res Lett Article 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. Elsevier Inc. 2020-10 2020-09-03 /pmc/articles/PMC7467939/ /pubmed/32908465 http://dx.doi.org/10.1016/j.frl.2020.101749 Text en © 2020 Elsevier Inc. All rights reserved. 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
Li, Yan
Liang, Chao
Ma, Feng
Wang, Jiqian
The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
title The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
title_full The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
title_fullStr The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
title_full_unstemmed The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
title_short The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic
title_sort role of the idemv in predicting european stock market volatility during the covid-19 pandemic
topic Article
url 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
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