Stock market volatility and the COVID-19 reproductive number

Fernando Díaz; Pablo A. Henríquez; Diego Winkelried

doi:10.1016/j.ribaf.2021.101517

Stock market volatility and the COVID-19 reproductive number

Fernando Díaz
, Pablo A. Henríquez
, Diego Winkelried

Research output: Contribution to journal › Article in a journal › peer-review

30 Scopus citations

Abstract

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.

Original language	English
Article number	101517
Number of pages	10
Journal	Research in International Business and Finance
Volume	59
Early online date	24 Aug 2021
DOIs	https://doi.org/10.1016/j.ribaf.2021.101517
State	Published - Jan 2022

Bibliographical note

Publisher Copyright:
© 2021 Elsevier B.V.

© 2021 Elsevier B.V. All rights reserved.

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 3 Good Health and Well-being
SDG 8 Decent Work and Economic Growth
SDG 16 Peace, Justice and Strong Institutions
SDG 17 Partnerships for the Goals

Keywords

COVID-19
Panel data
Reproductive number
Stock market volatility

Access to Document

10.1016/j.ribaf.2021.101517

Cite this

@article{971aa8dbe0474c4ebbed9d79995187c0,

title = "Stock market volatility and the COVID-19 reproductive number",

abstract = "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.",

keywords = "COVID-19, Panel data, Reproductive number, Stock market volatility, Volatilidad (Finanzas), Mercado de valores, An{\'a}lisis de panel, COVID-19 (Enfermedad)",

author = "Fernando D{\'i}az and Henr{\'i}quez, \{Pablo A.\} and Diego Winkelried",

year = "2022",

month = jan,

doi = "10.1016/j.ribaf.2021.101517",

language = "English",

volume = "59",

}

TY - JOUR

T1 - Stock market volatility and the COVID-19 reproductive number

AU - Díaz, Fernando

AU - Henríquez, Pablo A.

AU - Winkelried, Diego

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 - https://www.scopus.com/pages/publications/85113429595

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 -

Stock market volatility and the COVID-19 reproductive number

Abstract

Bibliographical note

UN SDGs

Keywords

Access to Document

Other files and links

Fingerprint

Cite this