Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1863245
Impact of COVID-19 pandemic disease outbreak on the global equity markets
Imlak Shaikh
Sažetak
Behavioural finance literature explains that investment decisions
are subject to ‘investor sentiment’ and, consequently, may affect
the pricing of various asset classes. Our study examines the 12
major equity markets amid the COVID-19 pandemic disease outbreak in relation to returns and volatility behaviour. Empirical
results show that the number of new cases and deaths recorded
daily because of COVID-19 has disrupted investors’ sentiments
globally, and also, the market has experienced an unparalleled
negative return. Market connectedness and volatility spillover
deliberate on the increased risk of emergent pandemic crises,
which has become more pronounced during the first quarter of
2020. Further, after the global financial crisis, the volatility index
has appeared at its highest level for the very first time. The
unprecedented rise in the volatility index level indicates more significant pressure on put options as a hedge against the pandemic
uncertainty.
Ključne riječi
COVID-19; pandemic; equity market; implied volatility; VIX
Hrčak ID:
301359
URI
Datum izdavanja:
31.12.2021.
Posjeta: 608 *