COVID-19 Effects on Intraday Stock Market Behavior

Jiayang Nie; Xiao Qiao; Sibo Yan

doi:10.1142/9781800610781_0008

COVID-19 Effects on Intraday Stock Market Behavior

Jiayang Nie, Xiao Qiao^*, Sibo Yan

^*Corresponding author for this work

Department of Data Science

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review

Abstract

This chapter investigates the stock market implications of COVID-19 using high-frequency data. Our analysis covers three aspects. First, we compare intraday volatility patterns of the S&P 500 during COVID-19 with those before COVID-19. Second, we document changes to intraday return predictability of the S&P 500 before and during COVID-19. Third, we examine the Heston (1993) stochastic volatility model during COVID-19 and compare to previous market events. Our empirical findings suggest that, during COVID-19, there is more disagreement among market participants in processing new information, and market makers are more concerned about inventory risk.

Original language	English
Title of host publication	Financial Transformations Beyond the COVID-19 Health Crisis
Editors	Sabri Boubaker, Duc Khuong Nguyen
Publisher	World Scientific
Chapter	8
Pages	229-252
ISBN (Electronic)	978-1-80061-079-8, 978-1-80061-078-1
ISBN (Print)	978-1-80061-077-4
DOIs	https://doi.org/10.1142/9781800610781_0008
Publication status	Published - 2022

Publication series

Name	Transformations in Banking, Finance and Regulation
Volume	1
ISSN (Print)	2752-5821
ISSN (Electronic)	2752-583X

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title = "COVID-19 Effects on Intraday Stock Market Behavior",

abstract = "This chapter investigates the stock market implications of COVID-19 using high-frequency data. Our analysis covers three aspects. First, we compare intraday volatility patterns of the S&P 500 during COVID-19 with those before COVID-19. Second, we document changes to intraday return predictability of the S&P 500 before and during COVID-19. Third, we examine the Heston (1993) stochastic volatility model during COVID-19 and compare to previous market events. Our empirical findings suggest that, during COVID-19, there is more disagreement among market participants in processing new information, and market makers are more concerned about inventory risk.",

author = "Jiayang Nie and Xiao Qiao and Sibo Yan",

year = "2022",

doi = "10.1142/9781800610781_0008",

language = "English",

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booktitle = "Financial Transformations Beyond the COVID-19 Health Crisis",

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COVID-19 Effects on Intraday Stock Market Behavior. / Nie, Jiayang; Qiao, Xiao; Yan, Sibo.
Financial Transformations Beyond the COVID-19 Health Crisis. ed. / Sabri Boubaker; Duc Khuong Nguyen. World Scientific , 2022. p. 229-252 (Transformations in Banking, Finance and Regulation; Vol. 1).

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 12 - Chapter in an edited book (Author) › peer-review

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AU - Qiao, Xiao

AU - Yan, Sibo

PY - 2022

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N2 - This chapter investigates the stock market implications of COVID-19 using high-frequency data. Our analysis covers three aspects. First, we compare intraday volatility patterns of the S&P 500 during COVID-19 with those before COVID-19. Second, we document changes to intraday return predictability of the S&P 500 before and during COVID-19. Third, we examine the Heston (1993) stochastic volatility model during COVID-19 and compare to previous market events. Our empirical findings suggest that, during COVID-19, there is more disagreement among market participants in processing new information, and market makers are more concerned about inventory risk.

AB - This chapter investigates the stock market implications of COVID-19 using high-frequency data. Our analysis covers three aspects. First, we compare intraday volatility patterns of the S&P 500 during COVID-19 with those before COVID-19. Second, we document changes to intraday return predictability of the S&P 500 before and during COVID-19. Third, we examine the Heston (1993) stochastic volatility model during COVID-19 and compare to previous market events. Our empirical findings suggest that, during COVID-19, there is more disagreement among market participants in processing new information, and market makers are more concerned about inventory risk.

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SN - 978-1-80061-077-4

T3 - Transformations in Banking, Finance and Regulation

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BT - Financial Transformations Beyond the COVID-19 Health Crisis

A2 - Boubaker, Sabri

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PB - World Scientific

ER -

COVID-19 Effects on Intraday Stock Market Behavior

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