COVID-19 and stock market volatility: A time-varying perspective
Economics Bulletin, vol.41, no.3, pp.1681-1689, 2021 (ESCI, Scopus)
- Publication Type: Article / Article
- Volume: 41 Issue: 3
- Publication Date: 2021
- Journal Name: Economics Bulletin
- Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus, IBZ Online, EconLit
- Page Numbers: pp.1681-1689
- Ankara Haci Bayram Veli University Affiliated: Yes
Abstract
© 2021. All Rights Reserved.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.