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The effect of COVID–19 pandemic on global stock market volatility: can economic strength help to manage the uncertainty?

Year
2022
Secondary
https://storage.googleapis.com/public-quant/integrate/papers/The%20effect%20of%20COVID_19%20pandemic%20on%20global%20stock%20market%20volatility_%20can%20economic%20strength%20help%20to%20manage%20the%20uncertainty_.pdf
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https://mega.co.nz/#!yOxX3RAR!i3oLbeLkw6dA6EbRDwvKQJ855f17XgeDUlULnhPGm1w
Abstract
1. Nazli Sila Alan 1. is an associate professor of finance in the Dolan School of Business at Fairfield University in Fairfield, CT. (nalan{at}fairfield.edu) 2. Robert F. Engle 1. is professor emeritus of finance in the Stern School of Business at New York University in New York, NY. (re21{at}stern.nyu.edu) 3. Ahmet K. Karagozoglu 1. is the C.V. Starr Distinguished Professor of Finance and Investment Banking in the Zarb School of Business at Hofstra University in Hempstead, NY, and a visiting scholar in the Volatility and Risk Institute in the Stern School of Business at New York University in New York, NY. (finakk{at}hofstra.edu); (akk473{at}nyu.edu) The authors investigate the initial impact of the COVID-19 pandemic on global equity market volatility with particular interest on cross-country policy response differences in 86 countries across the globe. They find that reported cases, growth rate of cases, and the change in growth rate of cases significantly drove volatility during the first 100 days of the pandemic. Including policy variables obtained from Oxford COVID-19 Government Response Tracker that measure government responses in terms of containment, closure, health, and fiscal, the authors show that stricter policy responses significantly reduced the impact of the pandemic on stock market volatility in those early days, even after controlling for income levels of the countries in the sample. The authors also analyze the effect of managerial senti
Author
Nenavath Sreenu and Ashis Kumar Pradhan
View
https://sci-hub.st/10.1108/jfm-12-2021-0162
Journal
https://www.sciencedirect.com/science/article/pii/S0148296321000692
Published
2022/08/03
Retrieved
8/3/2022, 5:33:18 PM
DOI
10.1108/jfm-12-2021-0162
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