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Empirical study and model simulation of global stock market dynamics during COVID-19

Lifu Jin, Bo Zheng, Jiahao Ma, Jiu Zhang, Long Xiong, Xiongfei Jiang and Jiangcheng Li

Chaos, Solitons & Fractals, 2022, vol. 159, issue C

Abstract: At the beginning of 2020, COVID-19 swept the world and changed various aspects of human society, such as economy and finance, life and health, migration and population. We first empirically study how the dynamic behaviors of stock markets are affected by COVID-19, and focus on the large volatility dynamics, variation-fluctuation correlation function and epidemic-fluctuation correlation function. Then we generalize the Heston model to simulate the global stock market dynamics, and an epidemic index computed from empirical data is directly taken as the external force in the modelling.

Keywords: COVID-19; Financial dynamics; Complex systems; Heston model (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:159:y:2022:i:c:s0960077922003484

DOI: 10.1016/j.chaos.2022.112138

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