THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY

Authors

Anasuya Haldar, National Institute of Technology Rourkela, IndiaFollow
Narayan Sethi, National Institute of Technology Rourkela, IndiaFollow

Document Type

Article

Abstract

This study investigates whether the coronavirus (COVID-19) pandemic caused a contagion and negatively affected the stock market. Using data from the 10 worst-hit countries over the period from December 2019 to May 2020 and an EGARCH model, the study shows that market speculations lead to negative stock returns and higher stock market volatility. Further, estimates of both bivariate time-series regression and random-effects panel regression show significant effects of COVID-19 related media coverage on the stock market.

Recommended Citation

Haldar, Anasuya and Sethi, Narayan (2021) "THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY," Bulletin of Monetary Economics and Banking: Vol. 24: No. 0, Article 3.
DOI: https://doi.org/10.21098/bemp.v24i0.1464
Available at: https://bulletin.bmeb-bi.org/bmeb/vol24/iss0/3

First Page

33

Last Page

58

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

India

Affiliation

National Institute of Technology Rourkela