About: Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective

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An Entity of Type : schema:ScholarlyArticle, within Data Space : covidontheweb.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective
Creator	Wei, Yu Bai, Lan Li, Xiafei Wei, Guiwu Zhang, Songyun
Source	Elsevier; Medline; PMC
abstract	Understanding the impact of infectious disease pandemic on stock market volatility is of great concerns for investors and policy makers, especially during recent new coronavirus spreading period. Using an extended GARCH-MIDAS model and a newly developed Infectious Disease Equity Market Volatility Tracker (EMV-ID), we investigate the effects of infectious disease pandemic on volatility of US, China, UK and Japan stock markets through January 2005 to April 2020. The empirical results show that, up to 24-month lag, infectious disease pandemic has significant positive impacts on the permanent volatility of international stock markets, even after controlling the influences of past realized volatility, global economic policy uncertainty and the volatility leverage effect. At different lags of eruptions in infectious disease pandemic, EMV-ID has distinct effects on various stock markets while it has the smallest impact on permanent volatility of China's stock market.
has issue date	2020-07-30(xsd:dateTime)
bibo:doi	10.1016/j.frl.2020.101709
bibo:pmid	32837383
has license	no-cc
sha1sum (hex)	4afa977b9bafcea618de382d41615164f643de95
schema:url	https://doi.org/10.1016/j.frl.2020.101709
resource representing a document's title	Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective
has PubMed Central identifier	PMC7391063
has PubMed identifier	32837383
schema:publication	Financ Res Lett
resource representing a document's body	covid:4afa977b9bafcea618de382d41615164f643de95#body_text
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