The nexus between COVID-19 fear and stock market volatility

This study described an empirical link between COVID-19 fear and stock market volatility. Studying COVID-19 fear with stock market volatility is crucial for planning adequate portfolio diversification in international financial markets. The study used AR (1) – GARCH (1,1) to measure stock market vol...

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Main Authors: Weiqing Li, Fengsheng Chien, Hafiz Waqas Kamran, Talla M Aldeehani, Muhammad Sadiq, Van Chien Nguyen, Farhad Taghizadeh-Hesary
Format: Article
Language:English
Published: Taylor & Francis Group 2021-04-01
Series:Ekonomska Istraživanja
Subjects:
Online Access:http://dx.doi.org/10.1080/1331677X.2021.1914125
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spelling doaj-55ee2e58918d4ee48ebe8755b786d4b62021-06-02T08:05:30ZengTaylor & Francis GroupEkonomska Istraživanja1331-677X1848-96642021-04-010012210.1080/1331677X.2021.19141251914125The nexus between COVID-19 fear and stock market volatilityWeiqing Li0Fengsheng Chien1Hafiz Waqas Kamran2Talla M Aldeehani3Muhammad Sadiq4Van Chien Nguyen5Farhad Taghizadeh-Hesary6School of international Economics and Tourism Management, Zhejiang International studies UniversitySchool of Finance and Accounting, Fuzhou University of International Studies and Trade, Fujian, China. & Faculty of Business, City university of MacauAssistant Professor, Department of Business Administration, Iqra UniversityCollege of business administration, Kuwait UniversitySchool of Accounting and Finance, Faculty of Business and Law, Taylor’s UniversityDepartment of Finance and Banking, Thu Dau Mot UniversitySocial Science Research Institute, Tokai UniversityThis study described an empirical link between COVID-19 fear and stock market volatility. Studying COVID-19 fear with stock market volatility is crucial for planning adequate portfolio diversification in international financial markets. The study used AR (1) – GARCH (1,1) to measure stock market volatility associated with the COVID-19 pandemic. Our findings suggest that COVID-19 fear is the ultimate cause driving public attention and stock market volatility. The results demonstrate that stock market performance and GDP growth decreased significantly through average increases during the pandemic. Further, with a 1% increase in COVID-19 cases, the stock return and GDP decreased by 0.8%, 0.56%, respectively. However, GDP growth demonstrated a slight movement with stock exchange. Moreover, public attention to the attitude of buying or selling was highly dependent on the COVID-19 pandemic reported cases index, death index, and global fear index. Consequently, investment in the gold market, rather than in the stock market, is recommended. The study also suggests policy implications for key stakeholders.http://dx.doi.org/10.1080/1331677X.2021.1914125covid-19 fearreturnstock volatilitywavelet
collection DOAJ
language English
format Article
sources DOAJ
author Weiqing Li
Fengsheng Chien
Hafiz Waqas Kamran
Talla M Aldeehani
Muhammad Sadiq
Van Chien Nguyen
Farhad Taghizadeh-Hesary
spellingShingle Weiqing Li
Fengsheng Chien
Hafiz Waqas Kamran
Talla M Aldeehani
Muhammad Sadiq
Van Chien Nguyen
Farhad Taghizadeh-Hesary
The nexus between COVID-19 fear and stock market volatility
Ekonomska Istraživanja
covid-19 fear
return
stock volatility
wavelet
author_facet Weiqing Li
Fengsheng Chien
Hafiz Waqas Kamran
Talla M Aldeehani
Muhammad Sadiq
Van Chien Nguyen
Farhad Taghizadeh-Hesary
author_sort Weiqing Li
title The nexus between COVID-19 fear and stock market volatility
title_short The nexus between COVID-19 fear and stock market volatility
title_full The nexus between COVID-19 fear and stock market volatility
title_fullStr The nexus between COVID-19 fear and stock market volatility
title_full_unstemmed The nexus between COVID-19 fear and stock market volatility
title_sort nexus between covid-19 fear and stock market volatility
publisher Taylor & Francis Group
series Ekonomska Istraživanja
issn 1331-677X
1848-9664
publishDate 2021-04-01
description This study described an empirical link between COVID-19 fear and stock market volatility. Studying COVID-19 fear with stock market volatility is crucial for planning adequate portfolio diversification in international financial markets. The study used AR (1) – GARCH (1,1) to measure stock market volatility associated with the COVID-19 pandemic. Our findings suggest that COVID-19 fear is the ultimate cause driving public attention and stock market volatility. The results demonstrate that stock market performance and GDP growth decreased significantly through average increases during the pandemic. Further, with a 1% increase in COVID-19 cases, the stock return and GDP decreased by 0.8%, 0.56%, respectively. However, GDP growth demonstrated a slight movement with stock exchange. Moreover, public attention to the attitude of buying or selling was highly dependent on the COVID-19 pandemic reported cases index, death index, and global fear index. Consequently, investment in the gold market, rather than in the stock market, is recommended. The study also suggests policy implications for key stakeholders.
topic covid-19 fear
return
stock volatility
wavelet
url http://dx.doi.org/10.1080/1331677X.2021.1914125
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