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) (KAR id:85238)

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Official URL: https://dx.doi.org/10.1016/j.irfa.2021.101671

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:	27 Oct 2023 13:16 UTC
Resource URI:	https://kar.kent.ac.uk/id/eprint/85238 (The current URI for this page, for reference purposes)

University of Kent Author Information

Pappas, Vasileios.

Creator's ORCID:	https://orcid.org/0000-0003-1885-4832
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