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

Haldar, Anasuya; Sethi, Narayan

doi:10.21098/bemp.v24i0.1464

Cited by 41 publications

(30 citation statements)

References 58 publications

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“…It follows that while both types of energy production have been impacted by the pandemic, the effect on renewable energy production has been less than traditional energy production. These results complement existing research on the impact of COVID-19 on the economy (Dash et al, 2021;Haldar & Sethi, 2020a;Tisdell, 2020) and the impact on energy (Devpura & Narayan, 2020;Fu & Shen, 2020;Gil-Alana & Monge, 2020;Gu et al, 2020;Huang & Zheng, 2020;Iyke, 2020a;Liu et al, 2020;Narayan, 2020b;Qin et al, 2020;Salisu et al, 2020).…”

supporting

confidence: 82%

How Does Energy Production Respond to the COVID-19 Pandemic? Evidence From China

Chen

Zheng

2021

Asian Economics Letters

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supporting

confidence: 82%

How Does Energy Production Respond to the COVID-19 Pandemic? Evidence From China

Chen

Zheng

2021

Asian Economics Letters

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“…The negative abnormal returns are observed more in Asian countries than in other countries (Liu et al, 2020). Haldar & Sethi (2021) show significant effects of COVID-19 related media coverage on the stock market.…”

Section: Resultsmentioning

confidence: 87%

How Did The Financial Markets Respond to The COVID-19 Pandemic? Empirical Evidence from BRICS Countries

2021

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The paper aims to evaluate the reaction of stock markets in BRICS countries (Brazil, Russia, India, China, and South Africa) to the outbreak of the COVID-19 pandemic. The study uses ARCH and GARCH models that use daily stock prices from January 1, 2020, to September 2, 2020. The financial market response was analyzed in two phases. The first phase analyses the financial markets' response within 30 to 60 days from the first day of confirmed cases of COVID-19. The second phase analyses the financial market response post 30 to 60 days of initial confirmed cases. The study results conclude that the share prices decreased, but in the second phase, the markets responded positively. Our results conclude that governmental support played an important role in mitigating the repercussions of the COVID-19 outbreak on stock markets in BRICS countries.JEL Classification: E44, G15, G10How to Cite:Chavali, K., Al Samman, H., & Jamil, S. A. (2021). How Did The Financial Markets Respond to The Covid-19 Pandemic? Empirical Evidence from BRICS Countries. Etikonomi, 20(2), xx– xx. https://doi.org/10.15408/etk.v20i2.20339.

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“…Our analysis is related to a growing literature that establishes a link between the COVID-19 pandemic and increased volatility and uncertainty in financial markets (Akhtaruzzaman et al 2020;Alexakis et al 2021;Bouri et al 2020;Fernandez-Perez et al 2020;Goodell 2020;Sharif et al 2020;Haldar and Sethi 2020;Milcheva 2021;Ozkan 2021;Salisu et al 2021;Scherf et al 2021). The general theme in this emerging strand of the literature is that the pandemic has led to increased uncertainty regarding economic fundamentals, which in turn has led to a significant dip in financial markets driven by the greater risk premium required on risky assets.…”

Section: Introductionmentioning

confidence: 90%

COVID-19 Pandemic and Investor Herding in International Stock Markets

Bouri

Demirer

Gupta

et al. 2021

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The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we examine the association between pandemic-induced market uncertainty and herding behavior in a set of 49 global stock markets. More specifically, we study the pattern of cross-sectional market behavior and examine whether the pandemic-induced uncertainty drives directional similarity across the global stock markets that cannot be explained by the standard asset pricing models. Utilizing a time-varying variation of the static herding model, we first identify periods during which herding is detected. We then employ probit models to examine the possible association between pandemic-induced uncertainty and the formation of herding. Our findings show a strong association between herd formation in stock markets and COVID-19 induced market uncertainty. The herding effect of COVID-19 induced market uncertainty is particularly strong for emerging stock markets as well as European PIIGS stock markets that include some of the hardest hit economies in Europe by the pandemic. The findings establish a direct link between the recent pandemic and herd formation among market participants in global financial markets. Considering the evidence that herding behavior can drive security prices away from equilibrium values supported by fundamentals and further contribute to price fluctuations in financial markets, our findings have significant implications for policy makers and investors in their efforts to monitor investor sentiment and mitigate mis-valuations that might occur as a result. Furthermore, the evidence on the behavioral pattern of stock investors in relation to infectious diseases uncertainty can be useful in studying price discovery in stock markets and might help market participants in forming hedging strategies to mitigate downside risk in their investment portfolios.

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

Cited by 41 publications

References 58 publications

How Does Energy Production Respond to the COVID-19 Pandemic? Evidence From China

How Does Energy Production Respond to the COVID-19 Pandemic? Evidence From China

How Did The Financial Markets Respond to The COVID-19 Pandemic? Empirical Evidence from BRICS Countries

COVID-19 Pandemic and Investor Herding in International Stock Markets

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