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http://dx.doi.org/10.22156/CS4SMB.2021.11.09.084

COVID-19 Fear Index and Stock Market  

Kim, Sun Woong (Trading System Major, Graduate School of Business IT, Kookmin University)
Publication Information
Journal of Convergence for Information Technology / v.11, no.9, 2021 , pp. 84-93 More about this Journal
Abstract
The purpose of this study is to analyze whether the spread of COVID-19 infectious diseases acts as a fear to investors and affects the direction and volatility of stock returns. The investor fear index was proposed using the domestic confirmed patient information of COVID-19, and the influence on stock prices was empirically analyzed. The direction and volatility models of stock prices used the Granger causality and GARCH models, respectively. The results of empirical analysis using the KOSPI index from February 20, 2020 to June 30, 2021 are as follows: First, the COVID-19 fear index showed causality to future stock prices. Second, the COVID-19 fear index has a negative effect on the volatility of KOSPI index returns. In future studies, it is necessary to document the cause by using individual business performance and stock price instead of the stock index.
Keywords
COVID-19; Fear Index; Granger Causality Model; GARCH Model; KOSPI Index;
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