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

  • Anasuya Haldar National Institute of Technology Rourkela, India.
  • Narayan Sethi National Institute of Technology Rourkela, India
Keywords: COVID-19;, Market volatility;, Market uncertainty;, Risk aversion;, Contagion effect

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.

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Published
2021-03-08
How to Cite
Haldar, A., & Sethi, N. (2021). THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY. Buletin Ekonomi Moneter Dan Perbankan, 24, 33-58. https://doi.org/10.21098/bemp.v24i0.1464