Stock market volatility and the COVID-19 reproductive number()

The media has prominently featured the totemic reproductive number [Formula: see text] in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentimen...

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Detalles Bibliográficos
Autores principales: Díaz, Fernando, Henríquez, Pablo A., Winkelried, Diego
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8514944/
https://www.ncbi.nlm.nih.gov/pubmed/34663999
http://dx.doi.org/10.1016/j.ribaf.2021.101517
Descripción
Sumario:The media has prominently featured the totemic reproductive number [Formula: see text] in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about [Formula: see text] affects the volatility in stock markets worldwide and find that when [Formula: see text] is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on volatility. Our results hold after controlling for government interventions and several robustness checks.

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