Apergis Nicholas, Mustafa Ghulam, Malik Shafaq
Department of Banking and Financial Management, University of Piraeus, Greece.
Discipline of Accounting, Economics, and Finance, Derby Business School, University of Derby, Kedleston Rd, Derby DE22 1GB, United Kingdom.
Q Rev Econ Finance. 2023 Jun;89:27-35. doi: 10.1016/j.qref.2023.03.004. Epub 2023 Mar 5.
We examine how the implied volatility in the US financial market has been affected by the COVID-19 pandemic. We decompose the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) into two implied volatility conditions (i.e., low and high), and COVID-19 pandemic cases and deaths into two categories (i.e., low and high). Our novel quantile-on-quantile regression approach allows us to better examine the dynamic relationship between the COVID-19 pandemic and implied volatility. Our empirical results show that increased death rates tend to increase fear in the US financial market. Specifically. we find that high COVID-19 cases have a significant impact on implied volatility under high uncertainty conditions, but low COVID-19 cases appear to have no impact on implied volatility in the US market. Our findings offer support to the US policy response by the Federal Reserve Board and the government to limit the instability effect of the COVID-19 shock on the financial markets.
我们研究了新冠疫情如何影响美国金融市场的隐含波动率。我们将芝加哥期权交易所（CBOE）波动率指数（VIX）分解为两种隐含波动率状态（即低和高），并将新冠疫情病例和死亡人数分为两类（即低和高）。我们新颖的分位数对分位数回归方法使我们能够更好地研究新冠疫情与隐含波动率之间的动态关系。我们的实证结果表明，死亡率上升往往会加剧美国金融市场的恐慌情绪。具体而言，我们发现，在高不确定性条件下，高新冠病例数对隐含波动率有显著影响，但低新冠病例数似乎对美国市场的隐含波动率没有影响。我们的研究结果为美联储和政府为限制新冠冲击对金融市场的不稳定影响而采取的美国政策应对措施提供了支持。
