COVID-19 Effects on Intraday Stock Market Behavior

Jiayang Nie, Xiao Qiao and Sibo Yan

Chapter 8 in Financial Transformations Beyond the COVID-19 Health Crisis, 2022, pp 229-252 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter investigates the stock market implications of COVID-19 using high-frequency data. Our analysis covers three aspects. First, we compare intraday volatility patterns of the S&P 500 during COVID-19 with those before COVID-19. Second, we document changes to intraday return predictability of the S&P 500 before and during COVID-19. Third, we examine the Heston (1993) stochastic volatility model during COVID-19 and compare to previous market events. Our empirical findings suggest that, during COVID-19, there is more disagreement among market participants in processing new information, and market makers are more concerned about inventory risk.

Keywords: COVID19; Pandemic; Pandemic Outbreak; Health Crisis; Economics; Macroeconomics; Finance; Sustainable Finance; Financial Crisis; Financial Integration; Economic Integration; Global Financial Crisis; Financial Institutions; Corporate Finance; Corporate Governance; Board of Directors; ESG; Corporate Social Responsibility; Sustainable Finance; Stock Markets; Financial Markets; Stock Market Behaviour; Firm Liquidity; Emerging Markets; China; Financial Institutions; Money; Banks; Banking System; Banking Sector; Business Groups; Resilience; Safe Heaven; Gold; Oil; Peer-to-Peer Lending Market; Foreign Trading; Stock Market Volatility; Extreme Events (search for similar items in EconPapers)
JEL-codes: F4 F62 G15 G17 G3 O16 (search for similar items in EconPapers)
Date: 2022
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