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Investigating the impact of the Covid-19 pandemic on stock markets volatility in USA and Europe

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  • Chikhi, Mohamed
  • Benhmad, François

Abstract

Financial data exhibit distinctive characteristics known as stylized facts including volatility clustering, long memory, the leverage effect, and risk premium.

Suggested Citation

  • Chikhi, Mohamed & Benhmad, François, 2026. "Investigating the impact of the Covid-19 pandemic on stock markets volatility in USA and Europe," The North American Journal of Economics and Finance, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:ecofin:v:81:y:2026:i:c:s1062940825001809
    DOI: 10.1016/j.najef.2025.102540
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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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