Stock market volatility and the COVID-19 reproductive number

Fernando Díaz, Pablo A. Henríquez, Diego Winkelried

Resultado de la investigación: Contribución a una revistaArtículo 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 originalInglés
Número de artículo101517
PublicaciónResearch in International Business and Finance
Volumen59
DOI
EstadoPublicada - ene 2022

Nota bibliográfica

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© 2021 Elsevier B.V.

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