Turbulence in the financial markets: Cross-country differences in market volatility in response to COVID-19 pandemic policies
| Autor: | Colthurst R, Martin Brumpton, Ho Fai Chan, Benno Torgler, Steve J. Bickley |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Coronavirus disease 2019 (COVID-19)
SARS-CoV-2 Financial market coronavirus volatility Public policy COVID-19 Monetary economics Stay-at-home policy Financial Analysis PsyArXiv|Social and Behavioral Sciences Pandemic Financial analysis Economics financial market bepress|Social and Behavioral Sciences ddc:330 Multi-Fractality human mobility Predictability Volatility (finance) Market Volatility Market Behaviour Statistic |
| Popis: | COVID-19 has had far-reaching global effects on the health and wellbeing of individuals on every continent. The economic and financial market response has been equally disastrous with high levels of volatility. This study explores temporal relations between structural breaks, market volatility and government policy interventions for 28 countries and their respective financial market indices. File description: Scripts: breaks.do – test for the unknown structural breaks in the turnover data. turnover.do – merge the mobility dataset (change in mobility to residential), stay-at-home policy, COVID stats, and turnover. It also generates the dataset for the R code (should upload yours) and the rest of the analysis. hurstexponent.R - estimates/calculates log returns, performs STL Decomposition and MFDFA analysis. Data: mobility.dat - Google mobility data bloomberg_turnover.dat - Raw traded value from Bloomberg turnover.do - merged traded value data csse.dat - COVID-19 statistics Please contact steven.bickley@hdr.qut.edu.au for questions and refer to our accompanying paper. Recommended Citation: Bickley, S. J., Chan, H., Torgler, B., Colthurst, R., & Brumpton, M. (2020, August 14). Turbulence in the financial markets: Cross-country differences in market volatility in response to COVID-19 pandemic policies. Retrieved from psyarxiv.com/58u7c Data use policy: Creative Commons Attribution CC BY standard. |
| Databáze: | OpenAIRE |
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