Jumps and stock market variance during the COVID-19 pandemic: Evidence from international stock markets.
Financ Res Lett
; 48: 102896, 2022 Aug.
Article
en En
| MEDLINE
| ID: mdl-35469270
ABSTRACT
Based on the work of Buncic and Gisler (2017), this paper investigates whether the roles of jump components will change in forecasting the volatility of international equity markets during the COVID-19 pandemic. Interestingly, in contrast to the conclusions of Buncic and Gisler (2017), we find jump components of the international equity indices are useful to predict the international stock markets' volatility during the COVID-19 pandemic. Our study tries to provide new evidence of jump components in stock markets.
Texto completo:
1
Colección:
01-internacional
Base de datos:
MEDLINE
Tipo de estudio:
Prognostic_studies
Idioma:
En
Revista:
Financ Res Lett
Año:
2022
Tipo del documento:
Article
País de afiliación:
China