Coronavirus and financial volatility: 40 days of fasting and fear (pdf) Mar 10 2020 10:45 languageMoneyScience
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Claudiu Albulescu (CRIEF)
(Submitted on 9 Mar 2020)
40 days after the start of the international monitoring of COVID-19, we search for the effect of official announcements regarding new cases of infection and death ratio on the financial markets volatility index (VIX). Whereas the new cases reported in China and outside China have a mixed effect on financial volatility, the death ratio positively influences VIX, that outside China triggering a more important impact. In addition, the higher the number of affected countries, the higher the financial volatility is.