The risk transmission of COVID-19 in the US stock market

Seungho Baek and Kwan Yong Lee

Applied Economics, 2021, vol. 53, issue 17, 1976-1990

Abstract: This paper studies volatility transmission effects between the US stock market and the COVID-19. Using BEKK-multivariate GARCH model, we find the US stock market volatility depends both its own past shocks and past COVID-19 shocks. Further, we find the US stock market volatility is positively affected by the death rate (bad news) while the recovered rate (good news) has a negative impact on the US stock market volatility. In addition, we find there is an asymmetric volatility impact of COVID-19 on the US stock market: the bad news affects the current US stock market much more than the good news. Our fixed effect panel regression results support the volatility spillover effects.

Date: 2021
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DOI: 10.1080/00036846.2020.1854668

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