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COVID-19 Effects on Intraday Stock Market Behavior

In: Financial Transformations Beyond the COVID-19 Health Crisis

Author

Listed:
  • Jiayang Nie
  • Xiao Qiao
  • Sibo Yan

Abstract

This chapter investigates the stock market implications of COVID-19 using high-frequency data. Our analysis covers three aspects. First, we compare intraday volatility patterns of the S&P 500 during COVID-19 with those before COVID-19. Second, we document changes to intraday return predictability of the S&P 500 before and during COVID-19. Third, we examine the Heston (1993) stochastic volatility model during COVID-19 and compare to previous market events. Our empirical findings suggest that, during COVID-19, there is more disagreement among market participants in processing new information, and market makers are more concerned about inventory risk.

Suggested Citation

  • Jiayang Nie & Xiao Qiao & Sibo Yan, 2022. "COVID-19 Effects on Intraday Stock Market Behavior," World Scientific Book Chapters, in: Sabri Boubaker & Duc Khuong Nguyen (ed.), Financial Transformations Beyond the COVID-19 Health Crisis, chapter 8, pages 229-252, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781800610781_0008
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    Keywords

    COVID19; Pandemic; Pandemic Outbreak; Health Crisis; Economics; Macroeconomics; Finance; Sustainable Finance; Financial Crisis; Financial Integration; Economic Integration; Global Financial Crisis; Financial Institutions; Corporate Finance; Corporate Governance; Board of Directors; ESG; Corporate Social Responsibility; Sustainable Finance; Stock Markets; Financial Markets; Stock Market Behaviour; Firm Liquidity; Emerging Markets; China; Financial Institutions; Money; Banks; Banking System; Banking Sector; Business Groups; Resilience; Safe Heaven; Gold; Oil; Peer-to-Peer Lending Market; Foreign Trading; Stock Market Volatility; Extreme Events;
    All these keywords.

    JEL classification:

    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • G3 - Financial Economics - - Corporate Finance and Governance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • F62 - International Economics - - Economic Impacts of Globalization - - - Macroeconomic Impacts
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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