The effect of COVID‐19 on the global stock market

Pattanaporn Chatjuthamard · Pavitra Jindahra · Pattarake Sarajoti · Sirimon Treepongkaruna

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COVID-19 Pandemic Impacts Financial Risk and Volatility Modeling Market Dynamics and Volatility

Abstract

Abstract This paper investigates the effect of COVID‐19 on the global stock market. Specifically, we test whether the growth in the number of confirmed cases/deaths affects market quality, measured by return, realised volatility, jumps and co‐jumps for 43 stock indices around the world. We find that an increase in the growth rate of the number of confirmed cases increases volatility and jumps while reducing return. Further, we explore whether economic, financial and political risks play any significant role in the relation between the number of confirmed cases/deaths and market quality. Overall, we find the risk from COVID‐19 overshadows these risks.

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References

1990Noise Trader Risk in Financial Markets 2003Modeling and Forecasting Realized Volatility 2013Political uncertainty and risk premia 2020Financial markets under the global pandemic of COVID-19 2001The distribution of realized stock return volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 1986Noise 2020COVID-19 and finance: Agendas for future research

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