The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index

We examine how the implied volatility in the US financial market has been affected by the COVID-19 pandemic. We decompose the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) into two implied volatility conditions (i.e., low and high), and COVID-19 pandemic cases and deaths into two cate...

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Detalles Bibliográficos
Autores principales: Apergis, Nicholas, Mustafa, Ghulam, Malik, Shafaq
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Authors. Published by Elsevier Inc. on behalf of Board of Trustees of the University of Illinois. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9985520/
https://www.ncbi.nlm.nih.gov/pubmed/36908507
http://dx.doi.org/10.1016/j.qref.2023.03.004

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9985520/
https://www.ncbi.nlm.nih.gov/pubmed/36908507
http://dx.doi.org/10.1016/j.qref.2023.03.004

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