Coronavirus and financial volatility: 40 days of fasting and fear
Claudiu Albulescu ()
Papers from arXiv.org
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.
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Working Paper: Coronavirus and financial volatility: 40 days of fasting and fear (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2003.04005
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