Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets

Paolo Pagnottoni, Alessandro Spelta, Nicolò Pecora, Andrea Flori and Fabio Pammolli ()

Physica A: Statistical Mechanics and its Applications, 2021, vol. 582, issue C

Abstract: The SARS-CoV-2 epidemics outbreak has shocked global financial markets, inducing policymakers to put in place unprecedented interventions to inject liquidity and to counterbalance the negative impact on worldwide financial systems. Through the lens of statistical physics, we examine the financial volatility of the reference stock and bond markets of the United States, United Kingdom, Spain, France, Germany and Italy to quantify the effects of country-specific socio-economic and political announcements related to the epidemics. Main results show that financial markets exhibit heterogeneous behaviours towards news on the epidemics, with the Italian and German bond markets responding with major delays to shocks. Additionally, credit markets tend to be slower than equity markets in adjusting prices after shocks, hence being slower at incorporating the effects of such news.

Keywords: Statistical physics; Omori law; Bond markets; Stock markets; News; COVID-19 (search for similar items in EconPapers)
JEL-codes: G15 G18 G41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:582:y:2021:i:c:s0378437121005136

DOI: 10.1016/j.physa.2021.126240

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