COVID-19 and the United States financial markets' volatility.
Financ Res Lett
; 38: 101699, 2021 Jan.
Article
in English
| MEDLINE | ID: covidwho-669628
Preprint
This scientific journal article is probably based on a previously available preprint. It has been identified through a machine matching algorithm, human confirmation is still pending.
See preprint
This scientific journal article is probably based on a previously available preprint. It has been identified through a machine matching algorithm, human confirmation is still pending.
See preprint
ABSTRACT
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.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Prognostic study
Language:
English
Journal:
Financ Res Lett
Year:
2021
Document Type:
Article
Affiliation country:
J.frl.2020.101699
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