Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach

This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed cases and deaths in twelve countries and m...

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Detalles Bibliográficos
Autores principales: Just, Małgorzata, Echaust, Krzysztof
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier Inc. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7521590/
https://www.ncbi.nlm.nih.gov/pubmed/33013236
http://dx.doi.org/10.1016/j.frl.2020.101775
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author Just, Małgorzata
Echaust, Krzysztof
author_facet Just, Małgorzata
Echaust, Krzysztof
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description This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed cases and deaths in twelve countries and market movements. We use the two-regime Markov switching model to find the structural break between stock market returns and key stock market indicators. The findings show close dependence between returns and both implied volatility and implied correlation but not with liquidity. The findings indicate the unique role of Italy in crisis transmission.
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spelling pubmed-75215902020-09-29 Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach Just, Małgorzata Echaust, Krzysztof Financ Res Lett Article This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed cases and deaths in twelve countries and market movements. We use the two-regime Markov switching model to find the structural break between stock market returns and key stock market indicators. The findings show close dependence between returns and both implied volatility and implied correlation but not with liquidity. The findings indicate the unique role of Italy in crisis transmission. The Authors. Published by Elsevier Inc. 2020-11 2020-09-28 /pmc/articles/PMC7521590/ /pubmed/33013236 http://dx.doi.org/10.1016/j.frl.2020.101775 Text en © 2020 The Authors 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
Just, Małgorzata
Echaust, Krzysztof
Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach
title Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach
title_full Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach
title_fullStr Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach
title_full_unstemmed Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach
title_short Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach
title_sort stock market returns, volatility, correlation and liquidity during the covid-19 crisis: evidence from the markov switching approach
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7521590/
https://www.ncbi.nlm.nih.gov/pubmed/33013236
http://dx.doi.org/10.1016/j.frl.2020.101775
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