Canadian stock market volatility under COVID-19

Dinghai Xu

International Review of Economics & Finance, 2022, vol. 77, issue C, 159-169

Abstract: This paper focuses on investigating the impacts of the novel coronavirus (COVID-19) on the Canadian stock market volatility from a time-varying parameter volatility model point of view.

Keywords: COVID-19; Canadian S&P/TSX Composite Index; Volatility structural break; Time-varying parameter model; News impact curve (search for similar items in EconPapers)
JEL-codes: C22 C58 G18 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Working Paper: Canadian Stock Market Volatility under COVID-19 (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:77:y:2022:i:c:p:159-169

DOI: 10.1016/j.iref.2021.09.015

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