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| Mert Topcu, Ibrahim Yagli and Furkan Emirmahmutoglu |
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| ''COVID-19 and stock market volatility: A time-varying perspective'' |
| ( 2021, Vol. 41 No.3 ) |
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| This study explores the response of the US stock market volatility to the COVID-19 pandemic over the period January 03 – October 15, 2020. Unlike the results from a conventional approach which reveals the absence of Granger causality, the time-varying causality results indicate two episodes detected following the FED's policy announcements, suggesting an indirect volatility response. We also discover the response to COVID-19 information in which negative news affects volatility over a longer period than positive news. These findings confirm the importance of time-varying structure as well as the negativity bias. |
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| Keywords: COVID-19, stock market volatility, time-varying causality. |
JEL: G1 - General Financial Markets
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| Manuscript Received : Feb 02 2021 | | Manuscript Accepted : Sep 17 2021 |
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