Author: Chatjuthamard, Pattanaporn; Jindahra, Pavitra; Sarajoti, Pattarake; Treepongkaruna, Sirimon
Title: The effect of COVIDâ€19 on the global stock market Cord-id: ympdc5cc Document date: 2021_8_19
ID: ympdc5cc
Snippet: This paper investigates the effect of COVIDâ€19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and coâ€jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing return. Further, we explore whether economic, financial and political risks play any significa
Document: This paper investigates the effect of COVIDâ€19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and coâ€jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing return. Further, we explore whether economic, financial and political risks play any significant role in the relation between the number of confirmed cases/deaths and market quality. Overall, we find the risk from COVIDâ€19 overshadows these risks.
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