Coronavirus and financial volatility: 40 days of fasting and fear

Claudiu Albulescu ()

Papers from arXiv.org

Abstract: 40 days after the start of the international monitoring of COVID-19, we search for the effect of official announcements regarding new cases of infection and death ratio on the financial markets volatility index (VIX). Whereas the new cases reported in China and outside China have a mixed effect on financial volatility, the death ratio positively influences VIX, that outside China triggering a more important impact. In addition, the higher the number of affected countries, the higher the financial volatility is.

Date: 2020-03
New Economics Papers: this item is included in nep-hea
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Citations: View citations in EconPapers (64)

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Working Paper: Coronavirus and financial volatility: 40 days of fasting and fear (2020)
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