Journal
FINANCE RESEARCH LETTERS
Volume 38, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2020.101699
Keywords
COVID-19; Coronavirus pandemic; US financial market volatility; Realized volatility; Announcement effect
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Funding
- Romanian National Authority for Scientific Research and Innovation, CNCS-UEFISCDI [PN-III-P1-1.1-TE-2019-0436]
- Romanian Ministery of Research and Innovation within Program 1 -Development of the national system of Research and Development, Subprogram 1.2 - Institutional Performance -Institutional Development Projects -Excellence Funding Projects in RDI, PNCDI III [10PFE/16.10.2018]
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The official announcements regarding COVID-19 new cases and fatality ratio have been found to affect financial market volatility in the United States, leading to an increase in S&P 500 realized volatility. The study suggests that the prolongation of the coronavirus pandemic is a significant source of financial volatility.
We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.
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