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

Universidad del Pacífico

Resultado de la investigación: Contribución a una revista › Artículo de revista › revisión exhaustiva

Resumen

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

Idioma original	Inglés
Número de artículo	101517
Número de páginas	10
Publicación	Research in International Business and Finance
Volumen	59
Fecha en línea anticipada	24 ago. 2021
DOI	https://doi.org/10.1016/j.ribaf.2021.101517
Estado	Publicada - ene. 2022

Nota bibliográfica

Publisher Copyright:
© 2021 Elsevier B.V. All rights reserved.

Palabras clave

Volatilidad (Finanzas)
Mercado de valores
Análisis de panel
COVID-19 (Enfermedad)

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10.1016/j.ribaf.2021.101517

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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",

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journal = "Research in International Business and Finance",

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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)

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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

Resumen

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Palabras clave

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