TY - JOUR
T1 - Stock market volatility and the COVID-19 reproductive number
AU - Díaz, Fernando
AU - Henríquez, Pablo A.
AU - Winkelried, Diego
N1 - Publisher Copyright:
© 2021 Elsevier B.V.
© 2021 Elsevier B.V. All rights reserved.
PY - 2022/1
Y1 - 2022/1
N2 - The media has prominently featured the totemic reproductive number R in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about R affects the volatility in stock markets worldwide and find that when R is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on volatility. Our results hold after controlling for government interventions and several robustness checks.
AB - The media has prominently featured the totemic reproductive number R in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about R affects the volatility in stock markets worldwide and find that when R is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on volatility. Our results hold after controlling for government interventions and several robustness checks.
KW - COVID-19
KW - Panel data
KW - Reproductive number
KW - Stock market volatility
KW - Volatilidad (Finanzas)
KW - Mercado de valores
KW - Análisis de panel
KW - COVID-19 (Enfermedad)
UR - http://www.scopus.com/inward/record.url?scp=85113429595&partnerID=8YFLogxK
UR - https://www.mendeley.com/catalogue/e4be5148-bee1-3b5f-a868-2d03aa5c7ac8/
U2 - 10.1016/j.ribaf.2021.101517
DO - 10.1016/j.ribaf.2021.101517
M3 - Article in a journal
C2 - 34663999
AN - SCOPUS:85113429595
SN - 0275-5319
VL - 59
JO - Research in International Business and Finance
JF - Research in International Business and Finance
M1 - 101517
ER -
