The price of COVID-19-induced uncertainty in the options market.
Econ Lett
; 211: 110265, 2022 Feb.
Article
in English
| MEDLINE | ID: covidwho-1611699
ABSTRACT
This paper investigates the pricing of uncertainty associated with the COVID-19 responses for 28 countries/regions in 2020. We find that such uncertainty is priced in the equity options market. Specifically, there is a price premium for options that provide protection to hedge against price risk, variance risk, and tail risk caused by a variety of World Health Organization (WHO) announcements and the lockdown announcements from governments on COVID-19. Moreover, such options tend to be more expensive when the governments place stricter restrictions.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Prognostic study
Language:
English
Journal:
Econ Lett
Year:
2022
Document Type:
Article
Affiliation country:
J.econlet.2021.110265
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