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

Topcu M., Yagli I., EMİRMAHMUTOĞLU F.

Economics Bulletin, cilt.41, sa.3, ss.1681-1689, 2021 (ESCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 41 Sayı: 3
  • Basım Tarihi: 2021
  • Dergi Adı: Economics Bulletin
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, IBZ Online, EconLit
  • Sayfa Sayıları: ss.1681-1689
  • Ankara Hacı Bayram Veli Üniversitesi Adresli: Evet

Özet

© 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.