Coronavirus and Financial Volatility: 40 Days of Fasting and Fear

7 Pages Posted: 9 Mar 2020

See all articles by § Claudiu Albulescu

§ Claudiu Albulescu

Management Department, Politehnica University of Timisoara

Date Written: March 8, 2020

Abstract

40 days after the start of the international monitoring of COVID-19, we search for the effect of official announcements regarding new cases of infection and death ratio on the financial markets volatility index (VIX). Whereas the new cases reported in China and outside China have a mixed effect on financial volatility, the death ratio positively influences VIX, that outside China triggering a more important impact. In addition, the higher the number of affected countries, the higher the financial volatility is.

Keywords: coronavirus, financial volatility, VIX, announcement effect

JEL Classification: G41, G15, G01

Suggested Citation

Albulescu, § Claudiu, Coronavirus and Financial Volatility: 40 Days of Fasting and Fear (March 8, 2020). Available at SSRN: https://ssrn.com/abstract=3550630 or http://dx.doi.org/10.2139/ssrn.3550630

§ Claudiu Albulescu (Contact Author)

Management Department, Politehnica University of Timisoara ( email )

P-ta Victoriei, no. 2
Timisoara, 300006
Romania

HOME PAGE: https://sites.google.com/site/claudiutiberiualbulescu/

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