Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets

Nicolo' Pecora, Paolo Pagnottoni, Andrea Flori, Fabio Pammolli

Research output: Contribution to journalArticle

Abstract

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.
Original languageEnglish
Pages (from-to)N/A-N/A
JournalPHYSICA. A
Volume582
DOIs
Publication statusPublished - 2021

Keywords

  • Bond markets
  • COVID-19
  • News
  • Omori law
  • Statistical physics
  • Stock markets

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