THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY
subject: covid-19, Market volatility, risk aversion, contagion effect, Market uncertainty
description: 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.
creator: Anasuya Haldar, Narayan Sethi
source: Bulletin Ekonomi Moneter dan Perbankan
publisher: Bank Indonesia
date: 2021
coverage: Finance