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Stock market volatility and the COVID-19 reproductive number.

ABSTRACT: The media has prominently featured the totemic reproductive number R in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about R affects the volatility in stock markets worldwide and find that when R is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on volatility. Our results hold after controlling for government interventions and several robustness checks.

SUBMITTER: Diaz F

PROVIDER: S-EPMC8514944 | biostudies-literature | 2022 Jan

REPOSITORIES: biostudies-literature

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Stock market volatility and the COVID-19 reproductive number.

Díaz Fernando F Henríquez Pablo A PA Winkelried Diego D

Research in international business and finance 20210824

The media has prominently featured the totemic reproductive number R in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about R affects the volatility in stock markets worldwide and find that when R is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on ...[more]

PMID: 34663999

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