COVID-19 Containment Measures and Expected Stock Volatility : High-Frequency Evidence from Selected Advanced Economies /
We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions with daily data. We find that six-month-ahead volatility indices dropped following announcements of init...
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| Other Authors: | , |
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2021.
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| Series: | IMF Working Papers; Working Paper ;
No. 2021/157 |
| Subjects: | |
| Online Access: | Full text available on IMF |