Stock market volatility and the COVID-19 reproductive number

Diaz, Fernando; Henriquez, Pablo A.; Winkelried, Diego

Abstract

The media has prominently featured the totemic reproductive number R in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about R affects the volatility in stock markets worldwide and find that when R is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on volatility. Our results hold after controlling for government interventions and several robustness checks.

Más información

Título según WOS: Stock market volatility and the COVID-19 reproductive number
Título de la Revista: RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
Volumen: 59
Editorial: Elsevier
Fecha de publicación: 2022
DOI:

10.1016/j.ribaf.2021.101517

Notas: ISI