COVID-19 and stock market volatility: A time-varying perspective

Mert Topcu, Ibrahim Yagli () and Furkan Emirmahmutoglu
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Ibrahim Yagli: Nevsehir Haci Bektas Veli University

Economics Bulletin, 2021, vol. 41, issue 3, 1681-1689

Abstract: This study explores the response of the US stock market volatility to the COVID-19 pandemic over the period January 03 – October 15, 2020. Unlike the results from a conventional approach which reveals the absence of Granger causality, the time-varying causality results indicate two episodes detected following the FED's policy announcements, suggesting an indirect volatility response. We also discover the response to COVID-19 information in which negative news affects volatility over a longer period than positive news. These findings confirm the importance of time-varying structure as well as the negativity bias.

Keywords: COVID-19; stock market volatility; time-varying causality. (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2021-09-17
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Citations: View citations in EconPapers (8)

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