IDEAS home Printed from https://ideas.repec.org/a/pal/palcom/v11y2024i1d10.1057_s41599-024-03357-y.html
   My bibliography  Save this article

Impact of COVID-19 on jump occurrence in capital markets

Author

Listed:
  • Min Zhu

    (Shanghai Normal University)

  • Shan Wen

    (Shanghai Normal University)

  • Yuping Song

    (Shanghai Normal University)

Abstract

In this paper, we investigate the relationship between the indicators for COVID-19 monitoring and the dynamic of jumps across six major financial markets including China, France, Italy, Germany, the UK, and the US. First, this paper finds that jumps occurred more frequently in the index returns during the COVID-19 pandemic. Second, the empirical findings suggest that the anxiety stemming from potential future control measures, which were prompted by updates in COVID-19 briefings, plays a significant role in explaining the jumps in index returns within financial markets. The strategies of ‘zero tolerance for COVID-19’, ‘maximum healthcare capacity’, and ‘less tolerance for restriction’ were carried out by China, European countries, and the US respectively. These diverse approaches to managing COVID-19 have a significant and varied impact on the market’s sudden price movements.

Suggested Citation

  • Min Zhu & Shan Wen & Yuping Song, 2024. "Impact of COVID-19 on jump occurrence in capital markets," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-18, December.
    • Handle: RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03357-y
    DOI: 10.1057/s41599-024-03357-y
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1057/s41599-024-03357-y
    File Function: Abstract
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1057/s41599-024-03357-y?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Al-Awadhi, Abdullah M. & Alsaifi, Khaled & Al-Awadhi, Ahmad & Alhammadi, Salah, 2020. "Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 27(C).
    2. Chan, Wing H & Maheu, John M, 2002. "Conditional Jump Dynamics in Stock Market Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 377-389, July.
    3. Scott R. Baker & Nicholas Bloom & Steven J. Davis & Kyle J. Kost & Marco C. Sammon & Tasaneeya Viratyosin, 2020. "The Unprecedented Stock Market Impact of COVID-19," NBER Working Papers 26945, National Bureau of Economic Research, Inc.
    4. Uddin, Moshfique & Chowdhury, Anup & Anderson, Keith & Chaudhuri, Kausik, 2021. "The effect of COVID – 19 pandemic on global stock market volatility: Can economic strength help to manage the uncertainty?," Journal of Business Research, Elsevier, vol. 128(C), pages 31-44.
    5. John, Kose & Li, Jingrui, 2021. "COVID-19, volatility dynamics, and sentiment trading," Journal of Banking & Finance, Elsevier, vol. 133(C).
    6. Suzanne S. Lee & Per A. Mykland, 2008. "Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2535-2563, November.
    7. Zhang, Yi & Zhou, Long & Chen, Yajiao & Liu, Fang, 2022. "The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    8. Salisu, Afees A. & Vo, Xuan Vinh, 2020. "Predicting stock returns in the presence of COVID-19 pandemic: The role of health news," International Review of Financial Analysis, Elsevier, vol. 71(C).
    9. Najam Iqbal & Muhammad Saqib Manzoor & Muhammad Ishaq Bhatti, 2021. "Asymmetry and Leverage with News Impact Curve Perspective in Australian Stock Returns’ Volatility during COVID-19," JRFM, MDPI, vol. 14(7), pages 1-15, July.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Hasan, Md. Tanvir, 2022. "The sum of all SCARES COVID-19 sentiment and asset return," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 332-346.
    2. Abuzayed, Bana & Bouri, Elie & Al-Fayoumi, Nedal & Jalkh, Naji, 2021. "Systemic risk spillover across global and country stock markets during the COVID-19 pandemic," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 180-197.
    3. Möller, Rouven & Reichmann, Doron, 2023. "COVID-19 related TV news and stock returns: Evidence from major US TV stations," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 95-109.
    4. Herjuna Qobush Izzahdi & Ani Wilujeng Suryani, 2023. "COVID-19 Vaccination, Government Strict Policy and Capital Market Volatility: Evidence from ASEAN Countries," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 117-135.
    5. Apergis, Nicholas & Mustafa, Ghulam & Malik, Shafaq, 2023. "The role of the COVID-19 pandemic in US market volatility: Evidence from the VIX index," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 27-35.
    6. Hasan, Md. Bokhtiar & Mahi, Masnun & Hassan, M. Kabir & Bhuiyan, Abul Bashar, 2021. "Impact of COVID-19 pandemic on stock markets: Conventional vs. Islamic indices using wavelet-based multi-timescales analysis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    7. Su, Zhi & Liu, Peng & Fang, Tong, 2022. "Pandemic-induced fear and stock market returns: Evidence from China," Global Finance Journal, Elsevier, vol. 54(C).
    8. Caporale, Guglielmo Maria & Gil-Alana, Luis Alberiko & Poza, Carlos, 2022. "The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 118-123.
    9. Brada, Josef C. & Gajewski, Paweł & Kutan, Ali M., 2021. "Economic resiliency and recovery, lessons from the financial crisis for the COVID-19 pandemic: A regional perspective from Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    10. Prelorentzos, Arsenios-Georgios N. & Konstantakis, Konstantinos N. & Michaelides, Panayotis G. & Xidonas, Panos & Goutte, Stephane & Thomakos, Dimitrios D., 2024. "Introducing the GVAR-GARCH model: Evidence from financial markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
    11. Al-Maadid, Alanoud & Alhazbi, Saleh & Al-Thelaya, Khaled, 2022. "Using machine learning to analyze the impact of coronavirus pandemic news on the stock markets in GCC countries," Research in International Business and Finance, Elsevier, vol. 61(C).
    12. Godfrey Marozva & Margaret Rutendo Magwedere, 2021. "Nexus Between Stock Returns, Funding Liquidity and COVID-19," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 71(3-4), pages 86-100, July-Dece.
    13. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S., 2020. "High-frequency jump tests: Which test should we use?," Journal of Econometrics, Elsevier, vol. 219(2), pages 478-487.
    14. Emre BULUT & Ahmed İhsan ŞİMŞEK, 2023. "The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 121-135, June.
    15. Caporale, Guglielmo Maria & Kang, Woo-Young & Spagnolo, Fabio & Spagnolo, Nicola, 2022. "The COVID-19 pandemic, policy responses and stock markets in the G20," International Economics, Elsevier, vol. 172(C), pages 77-90.
    16. Ferreruela, Sandra & Mallor, Tania, 2021. "Herding in the bad times: The 2008 and COVID-19 crises," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    17. Salisu, Afees A. & Vo, Xuan Vinh & Lucey, Brian, 2021. "Gold and US sectoral stocks during COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 57(C).
    18. Aharon, David Y. & Siev, Smadar, 2021. "COVID-19, government interventions and emerging capital markets performance," Research in International Business and Finance, Elsevier, vol. 58(C).
    19. Padhan, Rakesh & Prabheesh, K.P., 2021. "The economics of COVID-19 pandemic: A survey," Economic Analysis and Policy, Elsevier, vol. 70(C), pages 220-237.
    20. Zhou, Chunyang & Wu, Chongfeng & Wang, Yudong, 2019. "Dynamic portfolio allocation with time-varying jump risk," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 113-124.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03357-y. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: https://www.nature.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.