Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets

Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of jump components will change in forecasting the volatility of international equity markets during the COVID-19 pandemic. Interestingly, in contrast to the conclusions of Buncic and Gisler (2017), we find jump...

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Detalles Bibliográficos
Autores principales: Zeng, Qing, Lu, Xinjie, Li, Tao, Wu, Lan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9021036/
https://www.ncbi.nlm.nih.gov/pubmed/35469270
http://dx.doi.org/10.1016/j.frl.2022.102896
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author Zeng, Qing
Lu, Xinjie
Li, Tao
Wu, Lan
author_facet Zeng, Qing
Lu, Xinjie
Li, Tao
Wu, Lan
author_sort Zeng, Qing
collection PubMed
description Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of jump components will change in forecasting the volatility of international equity markets during the COVID-19 pandemic. Interestingly, in contrast to the conclusions of Buncic and Gisler (2017), we find jump components of the international equity indices are useful to predict the international stock markets’ volatility during the COVID-19 pandemic. Our study tries to provide new evidence of jump components in stock markets.
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spelling pubmed-90210362022-04-21 Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets Zeng, Qing Lu, Xinjie Li, Tao Wu, Lan Financ Res Lett Article Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of jump components will change in forecasting the volatility of international equity markets during the COVID-19 pandemic. Interestingly, in contrast to the conclusions of Buncic and Gisler (2017), we find jump components of the international equity indices are useful to predict the international stock markets’ volatility during the COVID-19 pandemic. Our study tries to provide new evidence of jump components in stock markets. Elsevier Inc. 2022-08 2022-04-21 /pmc/articles/PMC9021036/ /pubmed/35469270 http://dx.doi.org/10.1016/j.frl.2022.102896 Text en © 2022 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
Zeng, Qing
Lu, Xinjie
Li, Tao
Wu, Lan
Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets
title Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets
title_full Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets
title_fullStr Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets
title_full_unstemmed Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets
title_short Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets
title_sort jumps and stock market variance during the covid-19 pandemic: evidence from international stock markets
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9021036/
https://www.ncbi.nlm.nih.gov/pubmed/35469270
http://dx.doi.org/10.1016/j.frl.2022.102896
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