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...
Main Authors: | , |
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Format: | Article |
Language: | Indonesian |
Published: |
Bank Indonesia
2021-03-01
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Series: | Bulletin Ekonomi Moneter dan Perbankan |
Subjects: | |
Online Access: | https://www.bmeb-bi.org/index.php/BEMP/article/view/1464 |