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. 2021 Jan:38:101699.
doi: 10.1016/j.frl.2020.101699. Epub 2020 Jul 25.

COVID-19 and the United States financial markets' volatility

Claudiu Tiberiu Albulescu  1
Affiliations

COVID-19 and the United States financial markets' volatility

Claudiu Tiberiu Albulescu. Financ Res Lett. 2021 Jan.

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.

Keywords: Announcement effect; COVID-19; Coronavirus pandemic; Realized volatility; US financial market volatility.

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Figures

Fig 1
Fig. 1
COVID-19 dynamics
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