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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2021-04-01
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Online Access: | http://dx.doi.org/10.1080/1331677X.2021.1914125 |
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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 |
work_keys_str_mv |
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