Empirical study and model simulation of global stock market dynamics during COVID-19

At the beginning of 2020, COVID-19 swept the world and changed various aspects of human society, such as economy and finance, life and health, migration and population. We first empirically study how the dynamic behaviors of stock markets are affected by COVID-19, and focus on the large volatility d...

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Autores principales: Jin, Lifu, Zheng, Bo, Ma, Jiahao, Zhang, Jiu, Xiong, Long, Jiang, Xiongfei, Li, Jiangcheng
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9040430/
https://www.ncbi.nlm.nih.gov/pubmed/35493400
http://dx.doi.org/10.1016/j.chaos.2022.112138
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author Jin, Lifu
Zheng, Bo
Ma, Jiahao
Zhang, Jiu
Xiong, Long
Jiang, Xiongfei
Li, Jiangcheng
author_facet Jin, Lifu
Zheng, Bo
Ma, Jiahao
Zhang, Jiu
Xiong, Long
Jiang, Xiongfei
Li, Jiangcheng
author_sort Jin, Lifu
collection PubMed
description At the beginning of 2020, COVID-19 swept the world and changed various aspects of human society, such as economy and finance, life and health, migration and population. We first empirically study how the dynamic behaviors of stock markets are affected by COVID-19, and focus on the large volatility dynamics, variation-fluctuation correlation function and epidemic-fluctuation correlation function. Then we generalize the Heston model to simulate the global stock market dynamics, and an epidemic index computed from empirical data is directly taken as the external force in the modelling.
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spelling pubmed-90404302022-04-26 Empirical study and model simulation of global stock market dynamics during COVID-19 Jin, Lifu Zheng, Bo Ma, Jiahao Zhang, Jiu Xiong, Long Jiang, Xiongfei Li, Jiangcheng Chaos Solitons Fractals Article At the beginning of 2020, COVID-19 swept the world and changed various aspects of human society, such as economy and finance, life and health, migration and population. We first empirically study how the dynamic behaviors of stock markets are affected by COVID-19, and focus on the large volatility dynamics, variation-fluctuation correlation function and epidemic-fluctuation correlation function. Then we generalize the Heston model to simulate the global stock market dynamics, and an epidemic index computed from empirical data is directly taken as the external force in the modelling. Elsevier Ltd. 2022-06 2022-04-26 /pmc/articles/PMC9040430/ /pubmed/35493400 http://dx.doi.org/10.1016/j.chaos.2022.112138 Text en © 2022 Elsevier Ltd. 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
Jin, Lifu
Zheng, Bo
Ma, Jiahao
Zhang, Jiu
Xiong, Long
Jiang, Xiongfei
Li, Jiangcheng
Empirical study and model simulation of global stock market dynamics during COVID-19
title Empirical study and model simulation of global stock market dynamics during COVID-19
title_full Empirical study and model simulation of global stock market dynamics during COVID-19
title_fullStr Empirical study and model simulation of global stock market dynamics during COVID-19
title_full_unstemmed Empirical study and model simulation of global stock market dynamics during COVID-19
title_short Empirical study and model simulation of global stock market dynamics during COVID-19
title_sort empirical study and model simulation of global stock market dynamics during covid-19
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9040430/
https://www.ncbi.nlm.nih.gov/pubmed/35493400
http://dx.doi.org/10.1016/j.chaos.2022.112138
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