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The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model

Izzeldin, Marwan, Muradoğlu, Gülnur, Pappas, Vasileios, Sivaprasad, Sheeja (2021) The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. International Review of Financial Analysis, 74 . Article Number 101671. ISSN 1057-5219. (doi:10.1016/j.irfa.2021.101671) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:85238)

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Abstract

We investigate the impact of Covid-19 on stock markets across G7 countries and their business sectors. We highlight the synchronicity and severity of this unprecedented crisis. We find strong transition evidence to a crisis regime in all countries and sectors, yet crisis intensity and timings vary. The Health Care and Consumer services sectors were the most severely affected

Item Type: Article
DOI/Identification number: 10.1016/j.irfa.2021.101671
Uncontrolled keywords: Covid-19, financial markets, HAR model, smooth transition, business sectors
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Vasileios Pappas
Date Deposited: 30 Dec 2020 10:56 UTC
Last Modified: 07 Oct 2021 13:31 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/85238 (The current URI for this page, for reference purposes)
Pappas, Vasileios: https://orcid.org/0000-0003-1885-4832
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