Abstract

GOMEZ RODRIGUEZ, Tomás; RIOS BOLIVAR, Humberto  and  ZAMBRANO REYES, Adriana. Volatility and COVID-19: international empirical evidence. Rev. mex. econ. finanz [online]. 2021, vol.16, n.3, e605.  Epub May 02, 2022. ISSN 2448-6795.  https://doi.org/10.21919/remef.v16i3.605.

The relationship between the effects of the COVID-19 pandemic and realized volatility was studied. In addition, the possible link between mitigation and containment measures adopted by governments and realized volatility was analyzed. The study period covers February 2, 2020 to August 28, 2020. This period in turn was divided into fourteen samples, two for each month, which gave rise to the fourteen unbalanced panels used in the estimations. The estimation method used is Ordinary Least Squares with two-way fixed effects and the Estimated Generalized Least Squares (EGLS) method with one-way random effects (period). Realized volatility data from sixty-five major stock market indexes were used. The results show evidence that supports the existence of a significant statistical relationship between containment and mitigation measures and realized volatility, mainly in the months of February and March; however, no uniformity was found in the results. On the other hand, not enough evidence was found in favor of the existence of a positive relationship between the effects of the COVID-19 pandemic and realized volatility.

Keywords : Financial System; panel data; stock market volatility; COVID-19; containment and mitigation measures.

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