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Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure
16 references·0 citing·46 second hop
Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure (2023)Effects of the first wave of COVID-19 pan…The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies (2020)The contagion effects of the …Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…Financial contagion during COVID–19 crisis (2020)Financial contagion during CO…Feverish Stock Price Reactions to COVID-19* (2020)Feverish Stock Price Reaction…Estimation of Panel Vector Autoregression in Stata (2016)Estimation of Panel Vector Au…The Sum of All FEARS Investor Sentiment and Asset Prices (2014)The Sum of All FEARS Investor…Quantifying Trading Behavior in Financial Markets Using Google Trends (2013)Quantifying Trading Behavior …In Search of Attention (2011)In Search of AttentionExpected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Investor attention, overconfidence and category learning (2006)Investor attention, overconfi…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…The Investor Fear Gauge (2000)The Investor Fear GaugeAsymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…What To Do (and Not to Do) with Time-Series Cross-Section Data (1995)What To Do (and Not to Do) wi…Expected stock returns and volatility (1987)Expected stock returns and vo…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Statistical Inference in Dynamic Economic Models (1950)Analysis of Panel Data (2003)Veto Players. How Political Institutions Work (2003)Modernization, cultural change, and democracy the human development sequence (2005)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Risk, Return, and Equilibrium: Empirical Tests (1973)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Wisdom of Crowds: The Value of Stock Opinions Transmitted Through Social Media (2014)Attention to Global Warming (2019)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Noise Trader Risk in Financial Markets (1990)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)Manager sentiment and stock returns (2018)Economic policy uncertainty: A literature review (2019)Optimum consumption and portfolio rules in a continuous-time model (1971)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Economic Links and Predictable Returns (2008)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2002Dynamic Conditional Correlation7,126 cited
  • 1995What To Do (and Not to Do) with Time-Series Cross-Section Data6,833 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2011In Search of Attention3,088 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2006Investor attention, overconfidence and category learning1,451 cited
  • 2014The Sum of All FEARS Investor Sentiment and Asset Prices1,384 cited
  • 2020Feverish Stock Price Reactions to COVID-19*1,199 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2016Estimation of Panel Vector Autoregression in Stata1,029 cited
  • 2013Quantifying Trading Behavior in Financial Markets Using Google Trends947 cited
  • 2020Financial contagion during COVID–19 crisis937 cited
  • 2020The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies

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