The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach

被引：0
作者：
Alessandro Spelta
Nicolò Pecora
Andrea Flori
Paolo Giudici
机构：
[1] University of Pavia,Department of Economics and Management
[2] Catholic University,Department of Economics and Social Sciences
[3] Polytechnic of Milan,Department of Management, Economics and Industrial Engineering
来源：
Annals of Operations Research | 2023年 / 330卷
关键词：
SARS covid-2; Financial markets; Omori law; Agent-based modeling; G15; G18; G41;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This work investigates financial volatility cascades generated by SARS-CoV-2 related news using concepts developed in the field of seismology. We analyze the impact of socio-economic and political announcements, as well as of financial stimulus disclosures, on the reference stock markets of the United States, United Kingdom, Spain, France, Germany and Italy. We quantify market efficiency in processing SARS-CoV-2 related news by means of the observed Omori power-law exponents and we relate these empirical regularities to investors’ behavior through the lens of a stylized Agent-Based financial market model. The analysis reveals that financial markets may underreact to the announcements by taking a finite time to re-adjust prices, thus moving against the efficient market hypothesis. We observe that this empirical regularity can be related to the speculative behavior of market participants, whose willingness to switch toward better performing investment strategies, as well as their degree of reactivity to price trend or mispricing, can induce long-lasting volatility cascades.
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页码：639 / 664
页数：25
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