文章基本信息

标题：THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY
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作者：Anasuya Haldar ; Narayan Sethi
期刊名称：Bulletin Ekonomi Moneter dan Perbankan
印刷版ISSN：1410-8046
电子版ISSN：2460-9196
出版年度：2020
卷号：24
页码：33-58
DOI：10.21098/bemp.v24i0.1464
出版社：Bank Indonesia
摘要：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.
关键词：COVID-19; Market volatility; Market uncertainty; Risk aversion; Contagion effect
其他关键词：COVID-19;;Market volatility;;Market uncertainty;;Risk aversion;;Contagion effect