Sivaprasad, S., Muradoglu, Y.G., Izzeldin, M and Pappas, V 2021. The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. International Review of Financial Analysis. 74 101671. https://doi.org/10.1016/j.irfa.2021.101671
| Title | The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model |
|---|---|
| Type | Journal article |
| Authors | Sivaprasad, S., Muradoglu, Y.G., Izzeldin, M and Pappas, V |
| Abstract | We investigate the impact of Covid-19 on stock markets across G7 countries and their business sectors. We highlight the synchronicity and severity of this unprecedented crisis. We find strong transition evidence to a crisis regime in all countries and sectors, yet crisis intensity and timings vary. The Health Care and Consumer services sectors were the most severely affected; a reflection of the Covid-19 drug-race and international travel restrictions. The Technology sector was hit the latest and least severely, as imposed lockdown measures forced people to explore various web-based entertainment and distraction options. Country-wise the UK and the US were the most affected with the highest heterogeneity in their business sectors’ response; a possible reflection of the ambiguity in the initial response and adoption of lockdown measures. Financial markets’ response to Covid-19 is akin to response in previous financial crisis rather than previous pandemics. A series of robustness checks confirms our findings. |
| Keywords | Covid-19, financial markets, HAR model, smooth transition, business sectors |
| Article number | 101671 |
| Journal | International Review of Financial Analysis |
| Journal citation | 74 |
| ISSN | 1057-5219 |
| Year | 2021 |
| Publisher | Elsevier |
| Accepted author manuscript | License CC BY-NC-ND 4.0 File Access Level Open (open metadata and files) |
| Publisher's version | File Access Level Open (open metadata and files) |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.irfa.2021.101671 |
| Publication dates | |
| Published | 13 Jan 2021 |
| Published in print | Mar 2021 |