Empirical study and model simulation of global stock market dynamics during COVID-19

被引：7
|
作者：
Jin, Lifu [1 ]
Zheng, Bo [1 ,2 ,3 ]
Ma, Jiahao
Zhang, Jiu [1 ]
Xiong, Long [2 ]
Jiang, Xiongfei [4 ]
Li, Jiangcheng [5 ]
机构：
[1] Zhejiang Univ, Sch Phys, Hangzhou 310027, Peoples R China
[2] Yunnan Univ, Sch Phys & Astron, Kunming 650091, Peoples R China
[3] Nanjing Univ, Collaborat Innovat Ctr Adv Microstruct, Nanjing 210093, Peoples R China
[4] Ningbo Univ Finance & Econ, Coll Finance & Informat, Ningbo 315175, Peoples R China
[5] Yunnan Univ Finance & Econ, Sch Finance, Kunming 650221, Peoples R China
来源：
CHAOS SOLITONS & FRACTALS | 2022年 / 159卷
基金：
中国国家自然科学基金;
关键词：
COVID-19; Financial dynamics; Complex systems; Heston model; REPRODUCTION NUMBER; VOLATILITY; CURRENCY;
D O I：
10.1016/j.chaos.2022.112138
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
At the beginning of 2020, COVID-19 swept the world and changed various aspects of human society, such as economy and finance, life and health, migration and population. We first empirically study how the dynamic behaviors of stock markets are affected by COVID-19, and focus on the large volatility dynamics, variation fluctuation correlation function and epidemic-fluctuation correlation function. Then we generalize the Heston model to simulate the global stock market dynamics, and an epidemic index computed from empirical data is directly taken as the external force in the modelling.(c) 2022 Elsevier Ltd. All rights reserved.
引用
收藏
页数：7
相关论文
共 50 条
  • [1] Global Stock Market Volatility and Its Spillover on the Indian Stock Market: A Study Before and During the COVID-19 Period
    Prasad, Saroj S.
    Verma, Ashutosh
    Bakhshi, Priti
    Prasad, Shantanu
    FIIB BUSINESS REVIEW, 2023,
  • [2] The effect of COVID-19 on the global stock market
    Chatjuthamard, Pattanaporn
    Jindahra, Pavitra
    Sarajoti, Pattarake
    Treepongkaruna, Sirimon
    ACCOUNTING AND FINANCE, 2021, 61 (03) : 4923 - 4953
  • [3] Impact of COVID-19 on Global Stock Market Volatility
    Kusumahadi, Teresia Angelia
    Permana, Fikri C.
    JOURNAL OF ECONOMIC INTEGRATION, 2021, 36 (01) : 20 - 45
  • [4] Investor Behavior and Stock Market Dynamics in Palestine During the COVID-19 Crisis
    Madi, Hisham
    Alashi, Mohammed
    Shaheen, Nisreen
    Swirki, Hani
    AbdelFattah, Fadi
    NAVIGATING THE TECHNOLOGICAL TIDE: THE EVOLUTION AND CHALLENGES OF BUSINESS MODEL INNOVATION, VOL 3, ICBT 2024, 2024, 1082 : 464 - 472
  • [5] Trust and stock market volatility during the COVID-19 crisis
    Engelhardt, Nils
    Krause, Miguel
    Neukirchen, Daniel
    Posch, Peter N.
    FINANCE RESEARCH LETTERS, 2021, 38
  • [6] The Effect of COVID-19 Pandemic on Stock Market: An Empirical Study in Saudi Arabia
    Alzyadat, Jumah Ahmad
    Asfoura, Evan
    JOURNAL OF ASIAN FINANCE ECONOMICS AND BUSINESS, 2021, 8 (05): : 913 - 921
  • [7] Volatility in International Stock Markets: An Empirical Study during COVID-19
    Chaudhary, Rashmi
    Bakhshi, Priti
    Gupta, Hemendra
    JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2020, 13 (09)
  • [8] ESG scores and stock returns during COVID-19: an empirical analysis of an emerging market
    Yadav, Mahender
    Dhingra, Barkha
    Batra, Shallu
    Saini, Mohit
    Aggarwal, Vaibhav
    INTERNATIONAL JOURNAL OF SOCIAL ECONOMICS, 2025, 52 (03) : 390 - 405
  • [9] Market sentiment to COVID-19 and the Chinese stock market
    Xu, Liao
    Chen, Jilong
    Xu, Hao
    ACCOUNTING AND FINANCE, 2023, 63 : 1121 - 1135
  • [10] Stock market reactions to COVID-19 lockdown: A global analysis
    Scherf, Matthias
    Matschke, Xenia
    Rieger, Marc Oliver
    FINANCE RESEARCH LETTERS, 2022, 45
12345