COVID-19 and the United States financial markets' volatility

Claudiu Tiberiu Albulescu

doi:10.1016/j.frl.2020.101699

COVID-19 and the United States financial markets' volatility

Financ Res Lett. 2021 Jan:38:101699. doi: 10.1016/j.frl.2020.101699. Epub 2020 Jul 25.

Author

Claudiu Tiberiu Albulescu¹

Affiliation

¹ Management Department, Politehnica University of Timisoara, 2, P-ta. Victoriei, 300006 Timisoara, Romania.

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 important source of financial volatility, challenging the risk management activity.

Keywords: Announcement effect; COVID-19; Coronavirus pandemic; Realized volatility; US financial market volatility.