Stand Still and Do Nothing: COVID-19, Stock Returns and Volatility

Akbar, Muhammad and Tahir, Aima (2020) Stand Still and Do Nothing: COVID-19, Stock Returns and Volatility. Working Paper 7. Centre for Applied Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University. (Unpublished)

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Abstract

We examine the intraday returns and volatility in the US equity market amid the COVID-19 pandemic crisis. Our empirical results suggest increase in volatility overtime with mostly negative returns and higher volatility in last trading session of the day. Our Univariate analysis reveal structural break(s) since the first trading halt in March 2020 and that failure to account for this may lead to biased and unstable conditional estimates. Allowing for time varying conditional variance and conditional correlation, our dynamic conditional correlation tests suggest that COVID-19 cases and deaths are jointly related to stock returns and realised volatility.

Item Type: Monograph (Working Paper)
Identification Number: 7
Date: 19 November 2020
Subjects: N300 Finance
Divisions: Faculty of Business, Law and Social Sciences > Birmingham City Business School > Department of Accounting, Finance and Economics
Faculty of Business, Law and Social Sciences > Birmingham City Business School > Centre for Applied Finance and Economics
Depositing User: Muhammad Akbar
Date Deposited: 20 Nov 2020 10:31
Last Modified: 20 Nov 2020 10:31
URI: http://www.open-access.bcu.ac.uk/id/eprint/10370

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