COVID-19 and stock market volatility: An industry level analysis

Abstract

Highlights This paper analyzes the effects of COVID-19 on the U.S. stock market volatility at the industry level. The market switching AR model is used to identify regime change from lower volatility to higher volatility. Petroleum and natural gas, restaurants, hotels and lodgings industries exhibit large increases in risk. Machine learning (ML) feature selection methods are used to identify influential economic indicators. Changes in the volatility are found to be more sensitive to COVID-19 news than economic indicators.

Financial development during COVID-19 pandemic: the role of coronavirus testing and functional labs

“…The results of the study further connected with the findings of the subsequent studies that concluded that financial trading is affected due to increase COVID-19 infected cases (see, Erdem 2020;Baek et al 2020;Chia et al 2020). These studies highlighted the need to subsidize the financial and healthcare sector to marginalize coronavirus's adverse effects in economic and business processes.…”

How do equity markets react to COVID-19? Evidence from emerging and developed countries

“…As the World Health Organization (WHO), news media, and other non-profit organizations continue to provide the daily number of cases and deaths from COVID-19, our study contributes to the literature by exploring whether and how the stock market returns, volatility, and trading volume were affected by the percentages of daily cases and deaths from COVID-19 throughout 76 countries stock indices. Our study also extends current literature that mostly focuses on either developed countries (i.e., Baek et al, 2020 ; Salisu & Akanni, 2020 ; Zhang et al, 2020 ) or emerging countries (i.e., Haroon & Rizvi, 2020 ; Mishra et al, 2020 ) by conducting a direct comparison of the impact of COVID-19 on 53 emerging countries and 23 developed countries.…”

“…Recent studies have also examined the impact of COVID-19 on the equity markets’ volatility and trading volume. Baek, Mohantry, and Glambosky (2020) find a significant increase in absolute risk for the US equity market due to the COVID-19 deaths. Salisu and Akanni (2020) construct a global fear index (GFI) based on the cases and deaths from the COVID-19.…”

The impact of COVID-19 on housing price: Evidence from China

“…COVID-19 has been a worldwide pandemic since March 2020, which will greatly affect asset price. Existing studies have focused on the impact of COVID-19 on the financial asset price such as the US Treasuries ( He et al., 2020 ), sovereign Eurobonds ( Sene et al., 2020 ), corporate bonds ( Haddad et al., 2020 ; Kargar et al., 2020 ), and stocks ( Baek et al., 2020 ; Gormsen and Koijen, 2020 ; Just and Echaust, 2020 ). However, there is a lack of research linking COVID-19 and housing price.…”