Business

Impact of COVID-19 on jump occurrence in capital markets

M. Zhu, S. Wen, et al.

This research, conducted by Min Zhu, Shan Wen, and Yuping Song, uncovers how COVID-19 monitoring indicators triggered increased jump dynamics in major financial markets during the pandemic, fueled by anxieties surrounding prospective control measures. The study highlights diverse management strategies across China, Europe, and the US, revealing their unique impacts on sudden price movements.

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Playback language: English

Index

Abstract

This paper investigates the relationship between COVID-19 monitoring indicators and jump dynamics across six major financial markets. It finds that jumps in index returns occurred more frequently during the pandemic, significantly influenced by anxiety over potential future control measures prompted by COVID-19 updates. Diverse COVID-19 management strategies (zero tolerance, maximum healthcare capacity, less tolerance for restriction) across China, Europe, and the US led to varied impacts on sudden price movements.

Publisher

Humanities & Social Sciences Communications

Published On

Jun 24, 2024

Authors

Min Zhu, Shan Wen, Yuping Song

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