Learning about unprecedented events: Agent-based modelling and the stock market impact of COVID-19.
Financ Res Lett
; 56: 104085, 2023 Sep.
Article
in English
| MEDLINE | ID: covidwho-20233044
ABSTRACT
We model the learning process of market traders during the unprecedented COVID-19 event. We introduce a behavioural heterogeneous agents' model with bounded rationality by including a correction mechanism through representativeness (Gennaioli et al., 2015). To inspect the market crash induced by the pandemic, we calibrate the STOXX Europe 600 Index, when stock markets suffered from the greatest single-day percentage drop ever. Once the extreme event materializes, agents tend to be more sensitive to all positive and negative news, subsequently moving on to close-to-rational. We find that the deflation mechanism of less representative news seems to disappear after the extreme event.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Experimental Studies
Language:
English
Journal:
Financ Res Lett
Year:
2023
Document Type:
Article
Affiliation country:
J.frl.2023.104085
Similar
MEDLINE
...
LILACS
LIS