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Empirical study and model simulation of global stock market dynamics during COVID-19

Author

Listed:
  • Jin, Lifu
  • Zheng, Bo
  • Ma, Jiahao
  • Zhang, Jiu
  • Xiong, Long
  • Jiang, Xiongfei
  • Li, Jiangcheng

Abstract

At the beginning of 2020, COVID-19 swept the world and changed various aspects of human society, such as economy and finance, life and health, migration and population. We first empirically study how the dynamic behaviors of stock markets are affected by COVID-19, and focus on the large volatility dynamics, variation-fluctuation correlation function and epidemic-fluctuation correlation function. Then we generalize the Heston model to simulate the global stock market dynamics, and an epidemic index computed from empirical data is directly taken as the external force in the modelling.

Suggested Citation

  • Jin, Lifu & Zheng, Bo & Ma, Jiahao & Zhang, Jiu & Xiong, Long & Jiang, Xiongfei & Li, Jiangcheng, 2022. "Empirical study and model simulation of global stock market dynamics during COVID-19," Chaos, Solitons & Fractals, Elsevier, vol. 159(C).
    • Handle: RePEc:eee:chsofr:v:159:y:2022:i:c:s0960077922003484
    DOI: 10.1016/j.chaos.2022.112138
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