Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil

Cosmin-Octavian Cepoi

Finance Research Letters, 2020, vol. 36, issue C

Abstract: •I investigate the stock market's reaction to coronavirus news in the top six most affected countries by the pandemic.•The fake news exerts a negative nonlinear influence on the inferior and the middle quantiles throughout the distribution of returns.•The media coverage leads to a decrease in returns across middle and superior quantiles and has no effects on the inferior ones.•During COVID19 turmoil superior quantiles of returns distribution exhibit negative dependence on past performances, while inferior and middle quantiles are not affected by this phenomenon.•The gold return has a positive correlation with the stock markets, which amplifies during extreme bearish and bullish periods indicating that it does not behave as a “Safe Havens” asset.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320305912

DOI: 10.1016/j.frl.2020.101658

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