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Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis
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In this paper, the authors investigated the effects of a Google trend synthetic index concerning corona virus on the implied volatility of thirteen major stock markets, covering Europe, Asia, USA and Australia regions by using panel data analysis along with several model specifications and robustness tests.Abstract:
We investigate the effects of a google trend synthetic index concerning corona virus, as a composite indicator of searching term and theme, on the implied volatility of thirteen major stock markets, covering Europe, Asia, USA and Australia regions by using panel data analysis along with several model specifications and robustness tests. Increased search queries for COVID-19 not only have a direct effect on implied volatility, but also have an indirect effect via stock returns highlighting a risk-aversion channel operating over pandemic conditions. We show that these direct and indirect effects are stronger in Europe relative to the rest of the world. Moreover, in a PVAR framework, a positive shock on stock returns may calm down google searching about COVID-19 in Europe. Our findings suggest that google based anxiety about COVID-19 contagion effects leads to elevated risk-aversion in stock markets. Understanding the links between investors’ decision over a pandemic crisis and asset prices variability is critical for understanding the policy measures needed in markets and economies.read more
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Crude oil market and stock markets during the COVID-19 pandemic: Evidence from the US, Japan, and Germany
Wenting Zhang,Shigeyuki Hamori +1 more
TL;DR: In this paper, the authors analyzed the return and volatility spillover between the COVID-19 pandemic in 2020, the crude oil market, and the stock market by employing two empirical methods for connectedness.
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The impact of Coronavirus (COVID-19) outbreak on faith-based investments: An original analysis.
TL;DR: A strong and statistically significant relationship between the COVID-19 pandemic and the performance of the conventional stock market index is suggested and the disease interacts negatively but insignificantly with the Dow Jones faith-based ethical (Islamic) index compared to its UK counterpart.
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Does COVID-19 open a Pandora's box of changing the connectedness in energy commodities?
Boqiang Lin,Tong Su +1 more
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The impact of COVID-19 on stock market performance in Africa: A Bayesian structural time series approach.
TL;DR: There is almost no chance that the COVID-19 pandemic would have positive effects on the stock market performance in Africa, and empirical evidence that the pandemic has restrictive effects on stock markets performance in African economies is provided.
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Feeling Positive About Reopening? New Normal Scenarios From COVID-19 US Reopen Sentiment Analytics
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