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|z 9781513573502
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|a 1018-5941
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|a Acharya, Viral.
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|a COVID-19 Containment Measures and Expected Stock Volatility :
|b High-Frequency Evidence from Selected Advanced Economies /
|c Viral Acharya, Yang Liu, Yunhui Zhao.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2021.
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|a 1 online resource (43 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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 initial or re-imposed lockdowns, and that they did not drop significantly following the easing of lockdowns. Such patterns are not as strong for three-month-ahead expected volatility and generally absent for one-month-ahead expected volatility. These results provide suggestive evidence for the existence of an intertemporal trade-off: although stringent containment measures cause short-term economic disruptions, they may reduce medium-term uncertainty (reflected in expected stock volatility) by boosting markets' confidence that the outbreak would be under control more quickly.
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|a Mode of access: Internet
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|a Foreign Exchange
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|a Informal Economy
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|a Liu, Yang.
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|a Zhao, Yunhui.
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|a IMF Working Papers; Working Paper ;
|v No. 2021/157
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2021/157/001.2021.issue-157-en.xml
|z IMF e-Library
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