Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting

Rahman, Mohammad Mazibar; Guotai, Chi; Gupta, Anupam Das; Hossain, Mahmud; Abedin, Abedin

doi:10.1080/1331677x.2021.1997626

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Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting

Mohammad Mazibar Rahman, Chi Guotai, Anupam Das Gupta, Mahmud Hossain, Abedin Abedin

Economic Research-Ekonomska Istraživanja, Volume: 35, Issue: 1, Pages: 3591 - 3608

Swansea University Author: Abedin Abedin

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DOI (Published version): 10.1080/1331677x.2021.1997626

Abstract

This study examines the impact of early COVID-19 pandemic on U.S. and European stock indices, implied volatility (IV) indices, and forecasting accuracy of IV indices from daily data of January 2012 to December 2020, using an out-of-sample assessment of COVID-19. Our results show that COVID-19 death...

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Published in:	Economic Research-Ekonomska Istraživanja
ISSN:	1331-677X 1848-9664
Published:	Informa UK Limited 2022
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URI:	https://cronfa.swan.ac.uk/Record/cronfa64263
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spelling	v2 64263 2023-08-31 Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting 4ed8c020eae0c9bec4f5d9495d86d415 Abedin Abedin Abedin Abedin true false 2023-08-31 BAF This study examines the impact of early COVID-19 pandemic on U.S. and European stock indices, implied volatility (IV) indices, and forecasting accuracy of IV indices from daily data of January 2012 to December 2020, using an out-of-sample assessment of COVID-19. Our results show that COVID-19 death and recovery cases have had a significant positive impact on S&P 500, DJIA and NASDAQ 100. On the other hand, VIX, VXD and VXN show a negative association. Again, we also observe the significant impact of COVID-19 on stock trading prices and volatility expectations. Furthermore, the evidence of the point forecasts is more reliable for European IV indices than for U.S. IV indices. Finally, this study validates the informational efficiency of IV indices on the financial markets and has implications for investors regarding portfolio management and investment risk minimisation in similar future pandemic situations. Journal Article Economic Research-Ekonomska Istraživanja 35 1 3591 3608 Informa UK Limited 1331-677X 1848-9664 COVID-19, CCA model, implied volatility, forecasting accuracy, informational efficiency 31 12 2022 2022-12-31 10.1080/1331677x.2021.1997626 http://dx.doi.org/10.1080/1331677x.2021.1997626 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University This work has been supported by the Key Programs of National Natural Science Foundation of China (the grant number 71731003), the General Programs of National Natural Science Foundation of China (the grant number 72071026, 72173096, 71971051, 71971034, and 71873103), the Youth Programs of National Natural Science Foundation of China (the grant number 71901055, 71903019), the National Natural Science Foundation of China for Regional Science Fund Project(the grant number 72161033), the Major Projects of National Social Science Foundation of China (18ZDA095). The project has also been supported by the Bank of Dalian and Postal Savings Bank of China. 2023-09-19T16:19:24.1440082 2023-08-31T18:01:14.4817961 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance Mohammad Mazibar Rahman 1 Chi Guotai 2 Anupam Das Gupta 3 Mahmud Hossain 4 Abedin Abedin 5 64263__28562__8f1a556fa3a74e77a78c846d87371e20.pdf 64263.VOR.pdf 2023-09-18T15:35:18.4837340 Output 1826455 application/pdf Version of Record true © 2021 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group. Distributed under the terms of a Creative Commons Attribution 4.0 License (CC BY 4.0). true eng https://creativecommons.org/licenses/by/4.0/
title	Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting
spellingShingle	Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting Abedin Abedin
title_short	Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting
title_full	Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting
title_fullStr	Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting
title_full_unstemmed	Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting
title_sort	Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting
author_id_str_mv	4ed8c020eae0c9bec4f5d9495d86d415
author_id_fullname_str_mv	4ed8c020eae0c9bec4f5d9495d86d415_***_Abedin Abedin
author	Abedin Abedin
author2	Mohammad Mazibar Rahman Chi Guotai Anupam Das Gupta Mahmud Hossain Abedin Abedin
format	Journal article
container_title	Economic Research-Ekonomska Istraživanja
container_volume	35
container_issue	1
container_start_page	3591
publishDate	2022
institution	Swansea University
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publisher	Informa UK Limited
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department_str	School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
url	http://dx.doi.org/10.1080/1331677x.2021.1997626
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description	This study examines the impact of early COVID-19 pandemic on U.S. and European stock indices, implied volatility (IV) indices, and forecasting accuracy of IV indices from daily data of January 2012 to December 2020, using an out-of-sample assessment of COVID-19. Our results show that COVID-19 death and recovery cases have had a significant positive impact on S&P 500, DJIA and NASDAQ 100. On the other hand, VIX, VXD and VXN show a negative association. Again, we also observe the significant impact of COVID-19 on stock trading prices and volatility expectations. Furthermore, the evidence of the point forecasts is more reliable for European IV indices than for U.S. IV indices. Finally, this study validates the informational efficiency of IV indices on the financial markets and has implications for investors regarding portfolio management and investment risk minimisation in similar future pandemic situations.
published_date	2022-12-31T16:19:27Z
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Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting

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