Stock market returns, volatility, correlation and liquidity during the COVID-19 crisis: Evidence from the Markov switching approach

被引：102

作者：

Just, Malgorzata ^{[1
]}

Echaust, Krzysztof ^{[2
]}

机构：

[1] Poznan Univ Life Sci, Dept Finance & Accounting, Wojska Polskiego 28, PL-60637 Poznan, Poland

[2] Poznan Univ Econ & Business, Dept Operat Res, Al Niepodleglosci 10, PL-61875 Poznan, Poland

来源：

FINANCE RESEARCH LETTERS | 2020年 / 37卷

关键词：

COVID-19; VIX; Implied correlation; Liquidity; IMPLIED CORRELATION INDEX; TIME-SERIES;

D O I：

10.1016/j.frl.2020.101775

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the relationship between US stock market returns (S&P500) and three indicators of the market, namely implied volatility, implied correlation and liquidity. It also considers the short range dependence between both total confirmed cases and deaths in twelve countries and market movements. We use the two-regime Markov switching model to find the structural break between stock market returns and key stock market indicators. The findings show close dependence between returns and both implied volatility and implied correlation but not with liquidity. The findings indicate the unique role of Italy in crisis transmission.

引用

页数：8

共 26 条

[1] Financial contagion during COVID-19 crisis [J].