To what extent does COVID-19 drive stock market volatility? A comparison between the U.S. and China
This paper presents a novel wavelet-based quantile-on-quantile method for comparing the impact of COVID-19 on stock market volatility between the U.S. and China. Wavelet decomposition shows that the impact has stronger regularity in the lower frequency domain. Compared with oil price fluctuations, C...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2021-03-01
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| Series: | Ekonomska Istraživanja |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/1331677X.2021.1906730 |