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COVID-19 and the United States financial markets’ volatility

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  • Albulescu, Claudiu Tiberiu

Abstract

We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.

Suggested Citation

  • Albulescu, Claudiu Tiberiu, 2021. "COVID-19 and the United States financial markets’ volatility," Finance Research Letters, Elsevier, vol. 38(C).
    • Handle: RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320303202
    DOI: 10.1016/j.frl.2020.101699
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    More about this item

    Keywords

    COVID-19; Coronavirus pandemic; US financial market volatility; Realized volatility; Announcement effect;
    All these keywords.

    JEL classification:

    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G01 - Financial Economics - - General - - - Financial Crises

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