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Stock market volatility and the COVID-19 reproductive number

Fernando Díaz, Pablo A. Henríquez and Diego Winkelried ()

Research in International Business and Finance, 2022, vol. 59, issue C

Abstract: The media has prominently featured the totemic reproductive number R in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about R affects the volatility in stock markets worldwide and find that when R is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on volatility. Our results hold after controlling for government interventions and several robustness checks.

Keywords: Stock market volatility; COVID-19; Reproductive number; Panel data (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001380

DOI: 10.1016/j.ribaf.2021.101517

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