Information dissemination across global markets during the spread of COVID-19 pandemic

Abhinava Tripathi and Ashish Pandey

International Review of Economics & Finance, 2021, vol. 74, issue C, 103-115

Abstract: This study examines the information dissemination process across 25 major global market indices during the times of COVID-19 pandemic spread. The results suggest that the information from non-systematic sources contributed to the price decline and increased volatility. In contrast, the systematic information lowered the volatility and facilitated the recovery process towards more stable markets. These results have important implications for policymakers and regulators in the development of efficient markets.

Keywords: Market efficiency; COVID-19; Coronavirus; Financial markets; Informational efficiency (search for similar items in EconPapers)
JEL-codes: C33 G12 G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:74:y:2021:i:c:p:103-115

DOI: 10.1016/j.iref.2021.02.004

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