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COVID-19 and stock market volatility: A time-varying perspective

Author

Listed:
  • Mert Topcu

    (Nevsehir Haci Bektas University)

  • Ibrahim Yagli

    (Nevsehir Haci Bektas Veli University)

  • Furkan Emirmahmutoglu

    (Ankara Haci Bayram Veli University)

Abstract

This study explores the response of the US stock market volatility to the COVID-19 pandemic over the period January 03 – October 15, 2020. Unlike the results from a conventional approach which reveals the absence of Granger causality, the time-varying causality results indicate two episodes detected following the FED's policy announcements, suggesting an indirect volatility response. We also discover the response to COVID-19 information in which negative news affects volatility over a longer period than positive news. These findings confirm the importance of time-varying structure as well as the negativity bias.

Suggested Citation

  • Mert Topcu & Ibrahim Yagli & Furkan Emirmahmutoglu, 2021. "COVID-19 and stock market volatility: A time-varying perspective," Economics Bulletin, AccessEcon, vol. 41(3), pages 1681-1689.
    • Handle: RePEc:ebl:ecbull:eb-21-00132
    as

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    References listed on IDEAS

    as
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    Cited by:

    1. Emre BULUT & Ahmed İhsan ŞİMŞEK, 2023. "The Relationship Between the Stock Market Volatility, Liquidity, Exchange Rate Return, and Stock Return During the COVID-19 Period: The case of the BIST 100 Index," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 121-135, June.
    2. Zhuoqi Teng & Renhong Wu & Yugang He & Anibal Coronel, 2023. "Swings in Crude Oil Valuations: Analyzing Their Bearing on China’s Stock Market Returns amid the COVID-19 Pandemic Upheaval," Discrete Dynamics in Nature and Society, Hindawi, vol. 2023, pages 1-10, June.
    3. Ayhan Kuloğlu, 2021. "Covıd-19 Krizinin Petrol Fiyatları Üzerine Etkisi," Journal of Research in Economics, Politics & Finance, Ersan ERSOY, vol. 6(3), pages 710-727.

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    More about this item

    Keywords

    COVID-19; stock market volatility; time-varying causality.;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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