- Adekoya, A.F. ; Nti, I.K. The COVID-19 outbreak and effects on major stock market indices across the globe: A machine learning approach. 2020 Indian Journal of Science and Technology. 13 3695-3706
Paper not yet in RePEc: Add citation now
Aggarwal, S. ; Nawn, S. ; Dugar, A. What caused global stock market meltdown during the COVID pandemic–Lockdown stringency or investor panic?. 2021 Finance Research Letters. 38 101827-
- Ahundjanov, B.B. ; Akhundjanov, S.B. ; Okhunjanov, B.B. Information search and financial markets under COVID-19. 2020 Entropy. 22 1-18
Paper not yet in RePEc: Add citation now
- Al Rjoub, S.A. Business cycles, financial crises, and stock volatility in Jordan Stock Exchange. 2011 International Journal of Economic Perspectives. 5 89-95
Paper not yet in RePEc: Add citation now
Al-Awadhi, A.M. ; Al-Saifi, K. ; Al-Awadhi, A. ; Alhamadi, S. Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. 2020 Journal of Behavioral and Experimental Finance. -
Albulescu, C. Coronavirus and oil price crash. 2020 Politehnica University of Timisoara:
Alfaro, L. ; Chari, A. ; Greenland, A.N. ; Schott, P.K. Aggregate and firm-level stock returns during pandemics, in real time. 2020 National Bureau of Economic Research:
- Ali, M. ; Alam, N. ; Rizvi, S.A.R. Coronavirus (COVID-19) – An epidemic or pandemic for financial markets. 2020 Journal of Behavioral and Experimental Finance. 100341 -
Paper not yet in RePEc: Add citation now
Altig, D. ; Baker, S. ; Barrero, J.M. ; Bloom, N. ; Bunn, P. ; Chen, S. ; Mizen, P. Economic uncertainty before and during the COVID-19 pandemic. 2020 Journal of Public Economics. 191 104274-
- Andrei, D. ; Hasler, M. Investor attention and stock market volatility. 2014 The Review of Financial Studies. 28 33-72
Paper not yet in RePEc: Add citation now
Ashraf, B.N. Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets. 2020 Journal of Behavioral and Experimental Finance. 27 100371-
Ashraf, B.N. Stock markets' reaction to COVID-19: Cases or fatalities?. 2020 Research in International Business and Finance. 54 101249-
- Baca, S.P. ; Garbe, B.L. ; Weiss, R.A. The rise of sector effects in major equity markets. 2000 Financial Analysts Journal. 56 34-40
Paper not yet in RePEc: Add citation now
Baek, S. ; Mohanty, S.K. ; Glambosky, M. COVID-19 and stock market volatility: An industry level analysis. 2020 Finance Research Letters. -
- Bai, L. ; Wei, Y. ; Wei, G. ; Li, X. ; Zhang, S. Infectious disease pandemic and permanent volatility of international stock markets: A long-term perspective. 2020 Finance Research Letters. -
Paper not yet in RePEc: Add citation now
- Baig, A. ; Butt, H.A. ; Haroon, O. ; Rizvi, S.A.R. Deaths, Panic, Lockdowns and US Equity Markets: The case of COVID-19 Pandemic. 2020 Texas Tech University:
Paper not yet in RePEc: Add citation now
- Baker, S.R. ; Bloom, N. ; Davis, S. ; Renault, T. Twitter-based uncertainty indices. 2020 :
Paper not yet in RePEc: Add citation now
Baker, S.R. ; Bloom, N. ; Davis, S.J. ; Kost, K.J. ; Sammon, M.C. ; Viratyosin, T. The Unprecedented Stock Market Impact of COVID-19. 2020 National Bureau of Economic Research:
Bannigidadmath, D. ; Narayan, P.K. Stock return predictability and determinants of predictability and profits. 2016 Emerging Markets Review. 26 153-173
- Barker, G. Coronavirus: How it could affect the UK housing market. 2020, March 10 Forbes. -
Paper not yet in RePEc: Add citation now
Bartram, S.M. ; Bodnar, G.M. No place to hide: The global crisis in equity markets in 2008/2009. 2009 Journal of International Money and Finance. 28 1246-1292
Bekaert, G. ; Hoerova, M. ; Duca, M.L. Risk, uncertainty and monetary policy. 2013 Journal of Monetary Economics. 60 771-788
Bianchi, F. ; Kung, H. ; Tirskikh, M. The Origins and Effects of Macroeconomic Uncertainty. 2018 National Bureau of Economic Research:
Bloom, N. The impact of uncertainty shocks. 2009 Econometrica. 77 623-685
Bontempi, M.E. ; Frigeri, M. ; Golinelli, R. ; Squadrani, M. Uncertainty, Perception and the Internet. 2019 University of Bologna:
- Bretscher, L. ; Hsu, A. ; Tamoni, A. The supply channel of uncertainty shocks and the cross-section of returns: Evidence from the COVID-19 crisis. 2020 Georgia Tech Scheller College of Business:
Paper not yet in RePEc: Add citation now
Brzeszczyński, J. ; Kutan, A.M. Public information arrival and investor reaction during a period of institutional change: An episode of early years of a newly independent central bank. 2015 Journal of Comparative Economics. 43 727-753
- Burmeister, E. ; McElroy, M.B. The residual market factor, the APT, and mean-variance efficiency. 1991 Review of Quantitative Finance and Accounting. 1 27-49
Paper not yet in RePEc: Add citation now
- Caballero, R.J. ; Simsek, A. A model of asset price spirals and aggregate demand amplification of a “Covid-19” shock No. w27044. 2020 National Bureau of Economic Research:
Paper not yet in RePEc: Add citation now
Caggiano, G. ; Castelnuovo, E. ; Kima, R. The global effects of Covid-19-induced uncertainty. 2020 Economics Letters. 194 109392-
Capelle-Blancard, G. ; Desroziers, A. The stock market is not the economy? Insights from the COVID-19 crisis. 2020 COVID Economics Vetted and Real-Time Papers. 28 29-69
Castelnuovo, E. ; Tran, T.D. Google it up! A Google trends-based uncertainty index for the United States and Australia. 2017 Economics Letters. 161 149-153
- Cavaglia, S. ; Brightman, C. ; Aked, M. The increasing importance of industry factors. 2000 Financial Analysts Journal. 56 41-54
Paper not yet in RePEc: Add citation now
Cepoi, C.O. Asymmetric dependence between stock market returns and news during COVID19 financial turmoil. 2020 Finance Research Letters. -
Chen, C. ; Chen, C. ; Tang, W. ; Huang, B. The positive and negative impacts of the SARS outbreak: A case of the Taiwan industries. 2009 The Journal of Developing Areas. 43 281-293
Chen, C. ; Liu, L. ; Zhao, N. Fear sentiment, uncertainty, and bitcoin price dynamics: The case of COVID-19. 2020 Emerging Markets Finance and Trade. 56 2298-2309
- Chen, M.H. ; Jang, S.S. ; Kim, W.G. The impact of the SARS outbreak on Taiwanese hotel stock performance: An event-study approach. 2007 International Journal of Hospitality Management. 26 200-212
Paper not yet in RePEc: Add citation now
- Chiang, T.C. ; Li, J. ; Yang, S.Y. Dynamic stock–bond return correlations and financial market uncertainty. 2015 Review of Quantitative Finance and Accounting. 45 59-88
Paper not yet in RePEc: Add citation now
Choi, S.Y. Industry volatility and economic uncertainty due to the COVID-19 pandemic: Evidence from wavelet coherence analysis. 2020 Finance Research Letters. 37 101783-
- Constable, S. Covid-19 panic sparks record-breaking gold buying binge during first quarter. 2020 Forbes:
Paper not yet in RePEc: Add citation now
Costola, M. ; Iacopini, M. ; Santagiustina, C. Public Concern and the Financial Markets during the COVID-19 Outbreak. 2020 Ca' Foscari University of Venice: Italy
- Coy, P. The great coronavirus crash of 2020 is different. 2020 Bloomberg Businessweek:
Paper not yet in RePEc: Add citation now
- De Vito, A. ; Gómez, J.P. Estimating the COVID-19 cash crunch: Global evidence and policy. 2020 Journal of Accounting and Public Policy. 39 1-14
Paper not yet in RePEc: Add citation now
- Dhall, R. ; Singh, B. The COVID-19 pandemic and herding behaviour: Evidence from India. 2020 Millennial Asia. 11 366-390
Paper not yet in RePEc: Add citation now
Dimic, N. ; Kiviaho, J. ; Piljak, V. ; Äijö, J. Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets. 2016 Research in International Business and Finance. 36 41-51
Dzielinski, M. Measuring economic uncertainty and its impact on the stock market. 2012 Finance Research Letters. 9 167-175
Eiling, E. ; Gerard, B. ; Hillion, P. ; de Roon, F.A. International portfolio diversification: Currency, industry and country effects revisited. 2012 Journal of International Money and Finance. 31 1249-1278
- Elder, B. ; Dempsey, H. Global stocks push higher on easing virus nerves. 2020 The Financial Times:
Paper not yet in RePEc: Add citation now
- Engle, R.F. ; Bollerslev, T. Modelling the persistence of conditional variances. 1986 Econometric Reviews. 5 1-50
Paper not yet in RePEc: Add citation now
Espinosa-Méndez, C. ; Arias, J. COVID-19 effect on herding behaviour in European capital markets. 2021 Finance Research Letters. 38 101787-
Fan, J. ; Qi, L. ; Xiu, D. Quasi-maximum likelihood estimation of GARCH models with heavy-tailed likelihoods. 2014 Journal of Business and Economic Statistics. 32 178-191
- Fernandes, N. Economic Effects of Coronavirus Outbreak (COVID-19) on the World Economy. 2020 University of Navarra, European Corporate Governance Institute:
Paper not yet in RePEc: Add citation now
- Funck, M. ; Gutierrez, J.A. Has Ebola infected the market: A contagious reaction to a (media) health care crisis?. 2018 Journal of Business Strategies. 35 55-76
Paper not yet in RePEc: Add citation now
Goodell, J.W. COVID-19 and finance: Agendas for future research. 2020 Finance Research Letters. -
Gormsen, N.J. ; Koijen, R.S. Coronavirus: Impact on stock prices and growth expectations. 2020 The Review of Asset Pricing Studies. 10 574-597
Gupta, R. ; Subramaniam, S. ; Bouri, E. ; Ji, Q. Infectious disease-related uncertainty and the safe-haven characteristic of US treasury securities. 2020 International Review of Economics and Finance. 71 289-298
Guttman, L. Some necessary conditions for common-factor analysis. 1954 Psychometrika. 19 149-161
- Hale, T. ; Angrist, N. ; Kira, B. ; Petherick, A. ; Phillips, T. ; Webster, S. Variation in Government Responses to COVID-19. 2020 Blavatnik School of Government:
Paper not yet in RePEc: Add citation now
Haroon, O. ; Rizvi, S.A.R. COVID-19: Media coverage and financial markets behaviour – A sectoral inquiry. 2020 Journal of Behavioral and Experimental Finance. 27 100343-
- Huang, C. ; Wang, Y. ; Li, X. ; Ren, L. ; Zhao, J. ; Hu, Y. ; Cheng, Z. Clinical features of patients infected with 2019 novel coronavirus in Wuhan, China. 2020 The Lancet. 395 497-506
Paper not yet in RePEc: Add citation now
- Hughes, P.J. A test of the arbitrage pricing theory using Canadian security returns. 1984 Canadian Journal of Administrative Sciences/Revue Canadienne des Sciences de l'Administration. 1 195-214
Paper not yet in RePEc: Add citation now
- Hutchens, G. ; Chalmers, S. Coronavirus fears see Australian market slump to start new week. 2020 ABC News:
Paper not yet in RePEc: Add citation now
- Imbert, F. Stocks suffer their worst day since March, with the Dow plunging more than 1,800 points. 2020 CNBC:
Paper not yet in RePEc: Add citation now
- Kaiser, H.F. The application of electronic computers to factor analysis. 1960 Educational and Psychological Measurement. 20 141-151
Paper not yet in RePEc: Add citation now
Kizys, R. ; Tzouvanas, P. ; Donadelli, M. From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions. 2021 International Review of Financial Analysis. 74 101663-
Koutoulas, G. ; Kryzanowski, L. Integration or segmentation of the Canadian stock market: Evidence based on the APT. 1994 Canadian Journal of Economics. 329-351
Kozeniauskas, N. ; Orlik, A. ; Veldkamp, L. What are uncertainty shocks?. 2018 Journal of Monetary Economics. 100 1-15
Lagoarde-Segot, T. ; Leoni, P.L. Pandemics of the poor and banking stability. 2013 Journal of Banking & Finance. 37 4574-4583
Liemieux, J. ; Peterson, R. Purchase deadline as a moderator of the effects of price uncertainty on search behavior. 2011 Journal of Economic Psychology. 32 33-44
- Liu, K. The Effects of COVID-19 on Chinese Stock Markets: An EGARCH Approach. 2020 The University of Sydney:
Paper not yet in RePEc: Add citation now
- Lyócsa, Š. ; Baumöhl, E. ; Výrost, T. ; Molnár, P. Fear of the coronavirus and the stock markets. 2020 Finance Research Letters. 36 101735-
Paper not yet in RePEc: Add citation now
- Mazur, M. ; Dang, M. ; Vega, M. COVID-19 and March 2020 Stock Market Crash. Evidence from S&P1500. 2020 Catholic University of Lille:
Paper not yet in RePEc: Add citation now
Meyers, S.L. A re-examination of market and industry factors in stock price behavior. 1973 The Journal of Finance. 28 695-705
- Narayan, P.K. ; Phan, D.H.B. ; Liu, G. COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. 2020 Finance Research Letters. -
Paper not yet in RePEc: Add citation now
Nippani, S. ; Washer, K.M. SARS: A non-event for affected countries' stock markets?. 2004 Applied Financial Economics. 14 1105-1110
Ozili, P.K. ; Arun, T. Spillover of COVID-19: Impact on the global economy. 2020 :
Ozoguz, A. Good times or bad times? Investors' uncertainty and stock returns. 2009 The Review of Financial Studies. 22 4377-4422
Papadamou, S. ; Fassas, A. ; Kenourgios, D. ; Dimitriou, D. Direct and Indirect Effects of COVID-19 Pandemic on Implied Stock Market Volatility: Evidence from Panel Data Analysis. 2020 University of Thessaly MPRA:
Pastor, L. ; Veronesi, P. Political uncertainty and risk premia. 2013 Journal of Financial Economics. 110 520-545
Pastor, L. ; Veronesi, P. Uncertainty about government policy and stock prices. 2012 Journal of Finance. 67 1219-1264
- Qi, H. ; Xiao, S. ; Shi, R. ; Ward, M.P. ; Chen, Y. ; Tu, W. ; Zhang, Z. COVID-19 transmission in mainland China is associated with temperature and humidity: A time-series analysis. 2020 Science of the Total Environment. 728 138778-
Paper not yet in RePEc: Add citation now
Ramelli, S. ; Wagner, A.F. Feverish Stock Price Reactions to COVID-19. 2020 Centre for Economic Policy Research:
- Ru, H. ; Yang, E. ; Zou, K. What do we learn from SARS-CoV-1 to SARS-CoV-2: Evidence from global stock markets. 2020 :
Paper not yet in RePEc: Add citation now
Salisu, A.A. ; Akanni, L. Constructing a global fear index for the COVID-19 pandemic. 2020 Emerging Markets Finance and Trade. 56 2310-2331
Salisu, A.A. ; Akanni, L. ; Raheem, I. The COVID-19 global fear index and the predictability of commodity price returns. 2020 Journal of Behavioral and Experimental Finance. 27 100383-
- Salisu, A.A. ; Sikiru, A.A. ; Vo, X.V. Pandemics and the emerging stock markets. 2020 Borsa Istanbul Review. 20 S40-S48
Paper not yet in RePEc: Add citation now
Sharif, A. ; Aloui, C. ; Yarovaya, L. COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. 2020 International Review of Financial Analysis. 70 101496-
- Smales, L.A. How does policy uncertainty influence financial market uncertainty across the G7?. 2019 University of Western Australia:
Paper not yet in RePEc: Add citation now
Smales, L.A. Investor attention and global market returns during the COVID-19 crisis. 2021 International Review of Financial Analysis. 73 101616-
- Smales, L.A. Investor attention and the response of US stock sectors to the COVID-19 crisis. 2021 Review of Behavioral Finance. 13 20-39
Paper not yet in RePEc: Add citation now
Szczygielski, J.J. ; Brümmer, L.M. ; Wolmarans, H. An augmented macroeconomic linear factor model of South African industrial sector returns. 2020 The Journal of Risk Finance. 21 517-541
Szczygielski, J.J. ; Brümmer, L.M. ; Wolmarans, H. Underspecification of the empirical return-factor model and a factor analytic augmentation as a solution to factor omission. 2020 Studies in Economics and Econometrics. 44 133-165
- Szczygielski, J.J. ; Brümmer, L.M. ; Wolmarans, H.P. ; Zaremba, A. Are macroeconomic factors adequate proxies for systematic influences in stock returns? A South African perspective. 2020 Investment Analysts Journal. 49 34-52
Paper not yet in RePEc: Add citation now
- Szczygielski, J.J. ; Brzeszczyński, J. ; Charteris, A. ; Bwanya, P. The COVID-19 storm and the energy sector: The impact and role of uncertainty. 2021 Energy Economics. -
Paper not yet in RePEc: Add citation now
Szczygielski, J.J. ; Bwanya, P. ; Charteris, A. ; Brzeszczyński, J. The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets. 2021 Finance Research Letters. -
- Tew, I. FTSE on track for biggest fall in 30 years after 9% drop. 2020 The Financial Times:
Paper not yet in RePEc: Add citation now
- Uddin, G.S. ; Yahya, M. ; Goswami, G.G. ; Ahmed, A. ; Lucey, B.M. Stock Market Contagion of COVID-19 in Emerging Economies. 2020 Linkoping University: Sweden
Paper not yet in RePEc: Add citation now
Ukpong, I. ; Tan, H. ; Yarovaya, L. Determinants of industry herding in the US stock market. 2021 Finance Research Letters. -
- Wang, W. ; Enilov, M. The Global Impact of COVID-19 on Financial Markets. 2020 University of Bradford: England
Paper not yet in RePEc: Add citation now
Wang, Y.H. ; Yang, F.J. ; Chen, L.J. An investor's perspective on infectious diseases and their influence on market behaviour. 2013 Journal of Business Economics and Management. 14 112-127
- Wasserman, H. SA shares just suffered another big crash – here's where history says the JSE could be in a year. 2020 Business Insider:
Paper not yet in RePEc: Add citation now
- Wells, P. S&P 500 suffers its quickest fall into bear market on record. 2020 The Financial Times:
Paper not yet in RePEc: Add citation now
Westerlund, J. ; Narayan, P. Testing for predictability in conditionally heteroskedastic stock returns. 2015 Journal of Financial Econometrics. 13 342-375
- Wu, Y.C. ; Chen, C.S. ; Chan, Y.J. The outbreak of COVID-19: An overview. 2020 Journal of the Chinese Medical Association. 83 217-
Paper not yet in RePEc: Add citation now
Yu, L. ; Zhao, Y. ; Tang, L. ; Yang, Z. Online big data-driven oil consumption forecasting with Google Trends. 2019 International Journal of Forecasting. 35 213-223
Zaremba, A. ; Kizys, R. ; Aharon, D.Y. ; Demir, E. Infected markets: Novel coronavirus, government interventions, and stock return volatility around the globe. 2020 Finance Research Letters. 35 101597-
Zhang, D. ; Hu, M. ; Ji, Q. Financial markets under the global pandemic of COVID-19. 2020 Finance Research Letters. -
Zhang, X.F. Information uncertainty and stock returns. 2006 Journal of Finance. 61 105-137
- Zwick, W.R. ; Velicer, W.F. Comparison of five rules for determining the number of components to retain. 1986 Psychological Bulletin. 99 432-442
Paper not yet in RePEc: Add citation now