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Deprecated: Implicit conversion from float 249.2 to int loses precision in C:\Inetpub\vhosts\kidney.de\httpdocs\pget.php on line 534 Financ+Res+Lett 2021 ; 40 (ä): 101709 Nephropedia Template TP
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Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective #MMPMID32837383
Bai L; Wei Y; Wei G; Li X; Zhang S
Financ Res Lett 2021[May]; 40 (ä): 101709 PMID32837383show ga
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 to 24-month lag, infectious disease pandemic has significant positive impacts on the permanent volatility of international stock markets, even after controlling the influences of past realized volatility, global economic policy uncertainty and the volatility leverage effect. At different lags of eruptions in infectious disease pandemic, EMV-ID has distinct effects on various stock markets while it has the smallest impact on permanent volatility of China's stock market.