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COVID-19 and the United States financial markets’ volatility
Abstract
We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an...
Paper Details
Title
COVID-19 and the United States financial markets’ volatility
Published Date
Jul 25, 2020
Journal
Volume
38
Pages
101699 - 101699
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