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 …

The COVID-19 pandemic, which originated in Wuhan, China, precipitated the stock market
crash of March 2020. According to published global data, the US has been most affected by …

This paper uses a time-varying Granger causality test and time-varying parameter vector
autoregression with stochastic volatility model to analyze the effects of infectious disease …

This paper studies volatility transmission effects between the US stock market and the
COVID-19. Using BEKK-multivariate GARCH model, we find the US stock market volatility …

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 …

This study examines the relationship between COVID-19, government response measures,
and stock market volatilities for 11 developed and developing economies within the Asia …

This study investigates whether the coronavirus (COVID-19) pandemic caused a contagion
and negatively affected the stock market. Using data from the 10 worst-hit countries over the …

The main purpose of this paper is to investigate whether the Infectious Disease EMV tracker
(IDEMV) proposed by Baker et al.(2020) has additional predictive ability for European stock …

Predicting volatility is a must in the finance domain. Estimations of volatility, along with the
central tendency, permit us to evaluate the chances of getting a particular result. Financial …

This paper investigates the impact of the US and China equity markets on global equity
markets during the COVID-19 pandemic. Specifically, we compare the contagion of global …