Stand Still and Do Nothing: COVID-19 and Stock Returns and Volatility
DOI:
https://doi.org/10.51239/nrjss.v13i4.234Keywords:
COVID-19, Stock Returns and Volatility, DCC, Multivariate GARCHAbstract
We examine the intraday returns and volatility in the US equity market amid the COVID-19 pandemic crisis. Our empirical results suggest an increase in volatility over time with mostly negative returns and higher volatility in the last trading session of the day. Our Univariate analysis reveals structural break(s) since the first trading halt in March 2020 and that failure to account for this may lead to biased and unstable conditional estimates. Allowing for time-varying conditional variance and conditional correlation, our dynamic conditional correlation tests suggest that COVID-19 cases and deaths are jointly related to stock returns and realised volatility.