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Register a new userMarket structure dynamics during COVID-19 outbreak
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In this note, we discuss the impact of the COVID-19 outbreak from the perspective of the market-structure. We observe that the US market-structure has dramatically changed during the past four weeks and that the level of change has followed the number of infected cases reported in the USA. Presently, market-structure resembles most closely the structure during the middle of the 2008 crisis but there are signs that it may be starting to evolve into a new structure altogether. This is the first article of a series where we will be analyzing and discussing market-structure as it evolves to a state of further instability or, more optimistically, stabilization and recovery.
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This study examines the dynamic asset market linkages under the COVID-19 global pandemic based on market efficiency, in the sense of Fama (1970). Particularly, we estimate the joint degree of market efficiency by applying Ito et al.s (2014; 2017) Generalized Least Squares-based time-varying vector autoregression model. The empirical results show that (1) the joint degree of market efficiency changes widely over time, as shown in Los (2004) adaptive market hypothesis, (2) the COVID-19 pandemic may eliminate arbitrage and improve market efficiency through enhanced linkages between the asset markets; and (3) the market efficiency has continued to decline due to the Bitcoin bubble that emerged at the end of 2020.
We present Coronavirus disease 2019 (COVID-19) statistics in China dataset: daily statistics of the COVID-19 outbreak in China at the city/county level. For each city/country, we include the six most important numbers for epidemic research: daily new infections, accumulated infections, daily new recoveries, accumulated recoveries, daily new deaths, and accumulated deaths. We cross validate the dataset and the estimate error rate is about 0.04%. We then give several examples to show how to trace the spreading in particular cities or provinces, and also contrast the development of COVID-19 in all cities in China at the early, middle and late stages. We hope this dataset can help researchers around the world better understand the spreading dynamics of COVID-19 at a regional level, to inform intervention and mitigation strategies for policymakers.
Some ideas are presented about the physical motivation of the apparent capacity of generalized logistic equations to describe the outbreak of the COVID-19 infection, and in general of quite many other epidemics. The main focuses here are: the complex, possibly fractal, structure of the locus describing the contagion event set; what can be learnt from the models of trophic webs with herd behaviour.
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show the significantly negative correlation between EPU and stock market crash risk, indicating the aggravation of EPU increase the crash risk. Moreover, the negative correlation gets stronger after the global COVID-19 outbreak, which shows the crash risk of the US stock market will be more affected by EPU during the pandemic.
We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval $tau$ and its mean $<tau>$. We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.
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