To what extent does COVID-19 drive stock market volatility? A comparison between the U.S. and China

Xue Gao,Yixin Ren,Muhammad Umar

To what extent does COVID-19 drive stock market volatility? A comparison between the U.S. and China

2021

Xue Gao
Yixin Ren
Muhammad Umar

This paper presents a novel wavelet-based quantile-on-quantile method for comparing the impact of COVID-19 on stock market volatility between the U.S. and China. Wavelet decomposition shows that th...

Keywords:

2019 20 coronavirus outbreak
Coronavirus disease 2019
severe acute respiratory syndrome coronavirus 2
stock market volatility
Economics
Monetary economics
China

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