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Coronavirus and financial volatility: 40 days of fasting and fear

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  • Claudiu Tiberiu Albulescu

    (CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers)

Abstract

40 days after the start of the international monitoring of COVID-19, we search for the effect of official announcements regarding new cases of infection and death ratio on the financial markets volatility index (VIX). Whereas the new cases reported in China and outside China have a mixed effect on financial volatility, the death ratio positively influences VIX, that outside China triggering a more important impact. In addition, the higher the number of affected countries, the higher the financial volatility is.

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  • Claudiu Tiberiu Albulescu, 2020. "Coronavirus and financial volatility: 40 days of fasting and fear," Working Papers hal-02501814, HAL.
    • Handle: RePEc:hal:wpaper:hal-02501814
    Note: View the original document on HAL open archive server: https://hal.science/hal-02501814
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    Keywords

    coronavirus; financial volatility; VIX; announcement effect;
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