THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY

Anasuya Haldar () and Narayan Sethi
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Anasuya Haldar: National Institute of Technology Rourkela

Bulletin of Monetary Economics and Banking, 2021, vol. 24, issue Special Issue, 33-58

Abstract: This study investigates whether the coronavirus (COVID-19) pandemic caused a contagion and negatively affected the stock market. Using data from the 10 worst-hit countries over the period from December 2019 to May 2020 and an EGARCH model, the study shows that market speculations lead to negative stock returns and higher stock market volatility. Further, estimates of both bivariate time-series regression and random-effects panel regression show significant effects of COVID-19 related media coverage on the stock market.

Keywords: COVID-19; Market volatility; Market uncertainty; Risk aversion; Contagion effect (search for similar items in EconPapers)
JEL-codes: E1 E6 F40 I15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:24:y:2021:i:spe:p:33-58

DOI: 10.21098/bemp.v24i0.1464

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