THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY

THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY

Anasuya Haldar, Narayan Sethi

This study investigates whether the coronavirus (COVID-19) pandemic caused a contagion and negatively affected the stock market. Using data from the 10 worst-hit countries over the period from December 2019 to May 2020 and an EGARCH model, the study shows that market speculations lead to negative stock returns and higher stock market volatility. Further, estimates of both bivariate time-series regression and random-effects panel regression show significant effects of COVID-19 related media coverage on the stock market.

2021

covid-19, Market volatility, risk aversion, contagion effect, Market uncertainty

10.21098/bemp.v24i0.1464

Bulletin Ekonomi Moneter dan Perbankan

Bank Indonesia

Finance