Ontology highlight
ABSTRACT:
SUBMITTER: Bai L
PROVIDER: S-EPMC7391063 | biostudies-literature | 2020 Jul
REPOSITORIES: biostudies-literature
Finance research letters 20200730
Understanding the impact of infectious disease pandemic on stock market volatility is of great concerns for investors and policy makers, especially during recent new coronavirus spreading period. Using an extended GARCH-MIDAS model and a newly developed Infectious Disease Equity Market Volatility Tracker (EMV-ID), we investigate the effects of infectious disease pandemic on volatility of US, China, UK and Japan stock markets through January 2005 to April 2020. The empirical results show that, up ...[more]