ArticleAnnals of operations research2021
The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach.
Article in Annals of operations research, 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 4 papers.
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The abstract states no effect estimate the extractor could read, or names no intervention and outcome on the map, so this paper lights no cell and moves no belief. It is still indexed, cited and linked below.
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Who cites it
4 citing papers in PubMed.
- Wasserstein barycenter regression for estimating the joint dynamics of renewable and fossil fuel energy indices.Computational management science · 2023Article
- Using simulation modelling and systems science to help contain COVID-19: A systematic review.Systems research and behavioral science · 2022Article
- A discussion on the robust vector autoregressive models: novel evidence from safe haven assets.Annals of operations research · 2022Article
- Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets.Physica A · 2021Article
Corrections and comments
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Authors and funding
4 authors.
Funding
No grant is acknowledged in the PubMed record.
Abstract
This work investigates financial volatility cascades generated by SARS-CoV-2 related news using concepts developed in the field of seismology. We analyze the impact of socio-economic and political announcements, as well as of financial stimulus disclosures, on the reference stock markets of the United States, United Kingdom, Spain, France, Germany and Italy. We quantify market efficiency in processing SARS-CoV-2 related news by means of the observed Omori power-law exponents and we relate these empirical regularities to investors' behavior through the lens of a stylized Agent-Based financial market model. The analysis reveals that financial markets may underreact to the announcements by taking a finite time to re-adjust prices, thus moving against the efficient market hypothesis. We observe that this empirical regularity can be related to the speculative behavior of market participants, whose willingness to switch toward better performing investment strategies, as well as their degree of reactivity to price trend or mispricing, can induce long-lasting volatility cascades.
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Registered trials
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