The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index

COVID-19 pandemic and financial market volatility: A quantile regression approach

“…Our results support our hypotheses Hb and Hc. Also, our results are consistent with the argument that potential economic losses and uncertainty from COVID-19 caused financial market volatility in developed markets [ 24 , 66 , 68 ].…”

“…This heterogeneity, in effect, is evident in lower quantiles, indicating a significant influence of COVID-19 on financial volatility. The heterogeneity in the results at lower quantiles is consistent with the views that risk sensitivity to COVID-19 pandemic events differs across quantiles [ 66 ].…”

“…Moreover, our results also support the behavioural view of investors because due to the rise in COVID-19 new cases and deaths, the level of uncertainty, panic, and fear is heightened, which leads to irrational behaviour of investors and increased stock market volatility [ 64 , 98 ]. Similarly, the COVID-19 pandemic created fear among investors, bringing market plunges and volatility spikes in financial markets [ 66 ].…”

“…The reasons behind selecting this period (i.e., the year 2020) are: (i) the initial surge in the COVID-19 pandemic due to deaths, economic and mental health was severely affected in the year 2020, which was becoming under control due to the development and use of efficacious vaccines in early 2021 [ 72 ]. (ii) In early 2021, the global economy experienced a positive impact due to vaccination [ 66 ].…”

“…Likewise, Ref. [ 66 ] documented that COVID-19 created fear among investors and brought market plunges and volatility spikes in the U.S. options and equity markets. Moreover, behavioural biases such as over-anchoring bias, herding behaviour, loss aversion, and reaction and under-reaction can amplify market volatility during crises [ 67 ].…”