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Regular version of the site

Idiosyncratic and Systematic Shocks of COVID-19 Pandemic on Financial Markets

On April, 15 E. Shakina, I. Naidenova and P. Parshakov shared first results of their research dedicated to financial markets in the spread of COVID-19.

Topic:  Idiosyncratic and systematic shocks of COVID-19 pandemic on financial markets
Authors: Iuliia Naidenova (HSE — Perm), Petr Parshakov (HSE — Perm) and Elena Shakina (speaker; HSE — St. Petersburg, Perm)
Abstract: This study is discovering the impact of idiosyncratic and systematic shocks of COVID-19 pandemic on financial markets. Under a condition when the application of a conventional event-study is limited due to a high frequency of negative news – we suggest brute-force search to identify those announcements which appear to be virtually impactful. Having chosen 22 countries with predominantly different initial conditions and anti-pandemic policies adopted we would expect high diversity of market reactions. However, our findings say that systematic shocks are consistently harmful. Idiosyncratic shocks are more important for the beginning of the deteriorating of epidemiological situation in a particular country. Full text is available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3574774