Pagnottoni Paolo, Spelta Alessandro, Pecora Nicolò, Flori Andrea, Pammolli Fabio
University of Pavia, Department of Economics and Management, Via San Felice, 5, 27100 Pavia, Italy.
Catholic University, Department of Economics and Social Sciences, Via Emilia Parmense 84, 29122 Piacenza, Italy.
Physica A. 2021 Nov 15;582:126240. doi: 10.1016/j.physa.2021.126240. Epub 2021 Jul 7.
The SARS-CoV-2 epidemics outbreak has shocked global financial markets, inducing policymakers to put in place unprecedented interventions to inject liquidity and to counterbalance the negative impact on worldwide financial systems. Through the lens of statistical physics, we examine the financial volatility of the reference stock and bond markets of the United States, United Kingdom, Spain, France, Germany and Italy to quantify the effects of country-specific socio-economic and political announcements related to the epidemics. Main results show that financial markets exhibit heterogeneous behaviours towards news on the epidemics, with the Italian and German bond markets responding with major delays to shocks. Additionally, credit markets tend to be slower than equity markets in adjusting prices after shocks, hence being slower at incorporating the effects of such news.
严重急性呼吸综合征冠状病毒2（SARS-CoV-2）疫情的爆发震惊了全球金融市场，促使政策制定者采取前所未有的干预措施来注入流动性，并平衡对全球金融体系的负面影响。通过统计物理学的视角，我们研究了美国、英国、西班牙、法国、德国和意大利的参考股票和债券市场的金融波动性，以量化与疫情相关的特定国家社会经济和政治公告的影响。主要结果表明，金融市场对疫情新闻表现出不同的行为，意大利和德国债券市场对冲击的反应存在重大延迟。此外，信贷市场在冲击后调整价格的速度往往比股票市场慢，因此在纳入此类新闻的影响方面也较慢。
