THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY
نویسندگان
چکیده
This study investigates whether the coronavirus (COVID-19) pandemic caused a contagion and negatively affected stock market. Using data from 10 worst-hit countries over period December 2019 to May 2020 an EGARCH model, shows that market speculations lead negative returns higher volatility. Further, estimates of both bivariate time-series regression random-effects panel show significant effects COVID-19 related media coverage on
منابع مشابه
“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”
abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...
15 صفحه اولCohesiveness in Financial News and its Relation to Market Volatility
Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the in...
متن کاملMacroeconomic News Announcements, Financial Market Volatility and Jumps
This paper studies the financial market responses to macroeconomic news announcements, in the form of volatility and jumps. The traditional empirical literature using daily or lower-frequency data finds mixed or relatively weak evidence of big price movements during the announcement periods, which seems to falsify the efficient market hypothesis. However, with the advance of high frequency data...
متن کاملVolatility Spillover of the Exchange Rate and the Global Economy on Iran Stock Market
Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...
متن کاملEarly News is Good News: The E ects of Market Opening on Market Volatility
In this paper we examine the characteristics of market opening news and its impact on the estimated coe cients of the conditional volatility models of the GARCH class. We nd that the di erences between the opening price of one day and the closing price of the day before have di erent characteristics when considering various stock market indices on which options are actively traded. The impact o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Buletin ekonomi moneter dan perbankan
سال: 2021
ISSN: ['1410-8046']
DOI: https://doi.org/10.21098/bemp.v24i0.1464