THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY

THE NEWS EFFECT OF COVID-19 ON GLOBAL FINANCIAL MARKET VOLATILITY

This study investigates whether the coronavirus (COVID-19) pandemic caused a contagion and negatively affected the stock market. Using data from the 10 worst-hit countries over the period from December 2019 to May 2020 and an EGARCH model, the study shows that market speculations lead to negative st...

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Bibliographic Details
Main Authors: Anasuya Haldar, Narayan Sethi
Format: Article
Language:Indonesian
Published: Bank Indonesia 2021-03-01
Series:Bulletin Ekonomi Moneter dan Perbankan
Subjects:
covid-19;
market volatility;
market uncertainty;
risk aversion;
contagion effect
Online Access:https://www.bmeb-bi.org/index.php/BEMP/article/view/1464

Internet

https://www.bmeb-bi.org/index.php/BEMP/article/view/1464

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