Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective.
Financ Res Lett
; 40: 101709, 2021 May.
Article
in English
| MEDLINE | ID: covidwho-688703
ABSTRACT
Understanding the impact of infectious disease pandemic on stock market volatility is of great concerns for investors and policy makers, especially during recent new coronavirus spreading period. Using an extended GARCH-MIDAS model and a newly developed Infectious Disease Equity Market Volatility Tracker (EMV-ID), we investigate the effects of infectious disease pandemic on volatility of US, China, UK and Japan stock markets through January 2005 to April 2020. The empirical results show that, up to 24-month lag, infectious disease pandemic has significant positive impacts on the permanent volatility of international stock markets, even after controlling the influences of past realized volatility, global economic policy uncertainty and the volatility leverage effect. At different lags of eruptions in infectious disease pandemic, EMV-ID has distinct effects on various stock markets while it has the smallest impact on permanent volatility of China's stock market.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Language:
English
Journal:
Financ Res Lett
Year:
2021
Document Type:
Article
Affiliation country:
J.frl.2020.101709
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