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The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic

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  • Li, Yan
  • Liang, Chao
  • Ma, Feng
  • Wang, Jiqian

Abstract

The main purpose of this paper is to investigate whether the Infectious Disease EMV tracker (IDEMV) proposed by Baker et al. (2020) has additional predictive ability for European stock market volatility during the COVID-19 pandemic. The three European stock markets we consider are France, UK and Germany. Our investigation is based on the HAR and its augmented models. We find that the IDEMV has stronger predictive power for the France and UK stock markets volatilities during the global pandemic, and the VIX has also superior predictive ability for the three European stock markets during this period.

Suggested Citation

  • Li, Yan & Liang, Chao & Ma, Feng & Wang, Jiqian, 2020. "The role of the IDEMV in predicting European stock market volatility during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 36(C).
    • Handle: RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320308515
    DOI: 10.1016/j.frl.2020.101749
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    More about this item

    Keywords

    Volatility forecasting; VIX; IDEMV; Global pandemic; COVID-19;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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