Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1914125
The nexus between COVID-19 fear and stock market volatility
Weiqing Li
Fengsheng Chien
Hafiz Waqas Kamran
Talla M Aldeehani
Muhammad Sadiq
Van Chien Nguyen
Farhad Taghizadeh-Hesary
Sažetak
This study described an empirical link between COVID-19 fear and
stock market volatility. Studying COVID-19 fear with stock market
volatility is crucial for planning adequate portfolio diversification
in international financial markets. The study used AR (1) – GARCH
(1,1) to measure stock market volatility associated with the
COVID-19 pandemic. Our findings suggest that COVID-19 fear is
the ultimate cause driving public attention and stock market volatility. The results demonstrate that stock market performance and
GDP growth decreased significantly through average increases
during the pandemic. Further, with a 1% increase in COVID-19
cases, the stock return and GDP decreased by 0.8%, 0.56%,
respectively. However, GDP growth demonstrated a slight movement with stock exchange. Moreover, public attention to the attitude of buying or selling was highly dependent on the COVID-19
pandemic reported cases index, death index, and global fear
index. Consequently, investment in the gold market, rather than
in the stock market, is recommended. The study also suggests
policy implications for key stakeholders.
Ključne riječi
COVID-19 fear; return; stock volatility; wavelet
Hrčak ID:
302236
URI
Datum izdavanja:
31.3.2023.
Posjeta: 3.008 *