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COVID-19 and stock market volatility: A time-varying perspective

Mert Topçu et al.

Economics Bulletin2021article
ABDC C
Weight
0.51

What the paper says

This study explores the response of the US stock market volatility to the COVID-19 pandemic over the period January 03 – October 15, 2020. Unlike the results from a conventional approach which reveals the absence of Granger causality, the time-varying causality results indicate two episodes detected following the FED's policy announcements, suggesting an indirect volatility response. We also discover the response to COVID-19 information in which negative news affects volatility over a longer period than positive news. These findings confirm the importance of time-varying structure as well as the negativity bias.

7 citations

Cite this paper

@article{mert2021,
  title        = {{COVID-19 and stock market volatility: A time-varying perspective}},
  author       = {Mert Topçu et al.},
  journal      = {Economics Bulletin},
  year         = {2021},
}

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COVID-19 and stock market volatility: A time-varying perspective

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Evidence weight

0.51

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.40 × 0.4 = 0.16
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.