Open AccessPotential Causes Related to Stock Market Volatility During COVID-19: Insights into the Performances in the Us
Author(s) -
Xiaojuan Lian,
Fernando Echevarria
Publication year - 2021
Publication title -
financial forum
Language(s) - English
Resource type - Journals
ISSN - 2251-2659
DOI - 10.18282/ff.v10i4.2353
Subject(s) - volatility (finance) , covid-19 , pandemic , stock market , economics , econometrics , stock (firearms) , financial economics , anticipation (artificial intelligence) , actuarial science , medicine , computer science , geography , disease , infectious disease (medical specialty) , context (archaeology) , archaeology , pathology , artificial intelligence
The research aims to figure out the significant factors causing the volatility moves in the period from Feb 10 to Dec 28, 2020, which covers the outbreak and duration of COVID-19 in 2020, among the candidates: number of reports (cases, deaths, tests, and infection rate), number of medical resources needed (all beds needed, ICU beds needed, and invasive ventilators needed), and people’s anticipation toward reality (stock market, the pandemic, state of the economic and personal finance). After performing OLS regressions with stepwise regressions forward further, whose independent variables are chosen based on the values of VIF, we conclude that people’s focus on coronavirus is the most significant factor that induces the volatility, and the VIX values evolve dynamically. Nevertheless, the conclusions are somehow not robust as expected: in the second half of the period, not only none of the candidates are shown to have any influence on the volatility, but also the VIX series is proved to be not autocorrelated. By the results of the study, it is important not only to control the further spread of the pandemic but also to find approaches to stabilize people’s emotions towards the aspects of life which are affected by the pandemic. Apart from the meaningful insights from the research, the research paves the way for further studies in the future.