q-fin updates on arXiv.org
Tue, 10 Mar 2020 06:01:42 GMT language
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.