Stock market oscillations during the corona crash: The role of fear and uncertainty

Lyócsa, Štefan; Molnár, Péter

doi:10.1016/j.frl.2020.101707

Cited by 53 publications

(44 citation statements)

References 26 publications

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“…Any form of crisis increases uncertainty in all markets and people react by reducing investment in risky assets further making the markets more bearish. This has been documented in many recent studies, which found that the COVID-19 pandemic has increased financial market volatility and reduced investment (Lyócsa and Molnár, 2020;Narayan, Gong and Ahmed, 2020;Narayan, Devpura and Wang, 2020;Erdem, 2020;Bai et al, 2020, Ali et al, 2020Ashraf, 2020;Goodell, 2020;Zaremba et al, 2020;Sansa, 2020;Dai et al, 2020;Sha and Sharma, 2020).…”

Section: Review Of Literaturementioning

confidence: 79%

“…Phan and Narayan (2020) argued that, stock markets over-react when there is uncertainty like during the pandemic, but as more information becomes available, the market corrects itself. Lyócsa and Molnár (2020) found a negative relationship between google searches and realised stock volatility of the S&P 500 index for the period from November 2019 to May 2020, by estimating a non-linear autoregressive model, where the market uncertainty was also found to increase with increase in coronavirus related search words. What makes COVID-19 different from previous pandemics, like the 1918 Spanish Flu, is its greater internet and media coverage.…”

Section: Review Of Literaturementioning

confidence: 98%

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The News Effect of Covid-19 on Global Financial Market Volatility

Haldar¹,

Sethi²

2021

BEMP

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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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Section: Review Of Literaturementioning

confidence: 79%

Section: Review Of Literaturementioning

confidence: 98%

The News Effect of Covid-19 on Global Financial Market Volatility

Haldar¹,

Sethi²

2021

BEMP

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show abstract

“… Ashraf (2020) concludes that the stock market returns continue to decline as the number of confirmed cases increase. Lyócsa and Molnár (2020) show that the autocorrelation of the S&P 500 index returns increased in magnitude and remained negative in periods of extreme market volatility and when attention to the COVID-19 increased.…”

Section: Introductionmentioning

confidence: 92%

Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors

Hanif

Mensi

2021

Finance Research Letters

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This paper examines the impacts of COVID-19 outbreak on the spillover between ten US and Chinese equity sectors. We use Copula and Conditional Value at Risk approaches. The results show evidence of asymmetric tail dependence during the COVID-19 outbreak with the exception of the Utilities sector, where a symmetric tail dependence is found. Moreover, we find time-varying bidirectional asymmetric risk spillovers from the US to China and vice versa. The risk spillover is higher from the US to China before COVID-19 and from China to the US during COVD-19 spread, which is significantly intensified between March 2020 and April 2020.

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“…The global economy suffered significant losses because of COVID-19. As a result, ways to cope with the pandemic's effect on the global economy have been a popular subject in recent months (Uddin et al, 2021;Engelhardt et al, 2021;Lyócsa & Molnár, 2020).…”

Section: Introductionmentioning

confidence: 99%

Assessing the Nexus Between Stock Market Performance and Covid-19: Evidence from Global Perspective

Latif

Bashir

Iqbal

et al. 2021

Preprint

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This study described an empirical link between COVID-19 fear and stock market volatility. Studying COVID-19 fear with stock market volatility is crucial for planning adequate portfolio diversification in international financial markets. The study used AR (1) – GARCH (1,1) to measure stock market volatility associated with the COVID-19 pandemic. Our findings suggest that COVID-19 fear is the ultimate cause driving public attention and is a stock market volatility. The results demonstrate that stock market performance and GDP growth decreased significantly through average increases during the pandemic. Further, a 1% increase in COVID-19 cases the stock return and GDP decrease with a 0.8%, 0.56%, respectively. However, GDP growth demonstrated a slight movement with stock exchange. Moreover, public attention to the attitude of buying or selling was highly dependent on the COVID-19 pandemic reported cases index, death index, and global fear index. Consequently, investment in the gold market, rather than in the stock market, is recommended. The study also suggests policy implications for key stakeholders.

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Stock market oscillations during the corona crash: The role of fear and uncertainty

Cited by 53 publications

References 26 publications

The News Effect of Covid-19 on Global Financial Market Volatility

The News Effect of Covid-19 on Global Financial Market Volatility

Impacts of COVID-19 outbreak on the spillovers between US and Chinese stock sectors

Assessing the Nexus Between Stock Market Performance and Covid-19: Evidence from Global Perspective

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