Turbulence in the financial markets: Cross-country differences in market volatility in response to COVID-19 pandemic policies

Abstract

COVID-19 has had far-reaching global effects on the health and wellbeing of individuals on every continent. The economic and financial market response has been equally disastrous with high levels of volatility. This study explores temporal relations between structural breaks, market volatility and government policy interventions for 28 countries and their respective financial market indices.File description:Scripts:breaks.do – test for the unknown structural breaks in the turnover data.turnover.do – merge the mobility dataset (change in mobility to residential), stay-at-home policy, COVID stats, and turnover. It also generates the dataset for the R code (should upload yours) and the rest of the analysis.hurstexponent.R - estimates/calculates log returns, performs STL Decomposition and MFDFA analysis. Data:mobility.dat - Google mobility databloomberg_turnover.dat - Raw traded value from Bloombergturnover.do - merged traded value datacsse.dat - COVID-19 statisticsPlease contact steven.bickley@hdr.qut.edu.au for questions and refer to our accompanying paper. Recommended Citation: TBAData use policy: Creative Commons Attribution CC BY standard.

Pandemics and Oil Shocks

“…In contrast, anxiety shock increases volatility in financial markets after a brief decline. The increased volatility in financial markets following a brief decline due to the pandemic anxiety shock is consistent with Bickley et al (2020) finding that the variability of traded value in financial markets increased substantially due to the COVID-19 pandemic.…”

Volatility transmission within financial markets during the COVID-19 pandemic: are faith-based investors well off in Tunisia?

“…Giving the objective to minimize the reported cases affected by the pandemic and after the COVID-19 outbreak was declared by the WHO as a global pandemic (Liu et al, 2020), governments around the world have been relatively quick to establish strict control measures to contain the virus such as restricting movements, limiting public gatherings, city-wide lockdowns and reducing commercial air travel to a minimum (Bickley et al, 2020). These restrictive government policies deepened uncertainty among stock market investors (Baig et al, 2021), which is a cause for market instability (Blau et al, 2014).…”

Economic resiliency and recovery, lessons from the financial crisis for the COVID-19 pandemic: A regional perspective from Central and Eastern Europe

“…In examining the reaction of US industry returns to COVID-19 related news and policy announcements, Goodell and Huynh (2020) report that some sectors such as restaurants and hotels saw negative abnormal returns while others, including medical and pharmaceutical products sectors, had abnormal positive returns. Bickley, Brumpton, Chan, Colthurst, and Torgler (2020) find significant correlations between the trading volumes of 26 stock markets and number of confirmed and death cases. They report significant structural breaks in traded values in 15 of the 28 indices due to stay-at-home policy measures and show that such policy interventions have been able to stabilize the financial markets about 61% of the time in the sample countries.…”