Comparison between COVID-19 cumulative recorded cases per geographical area (we look at individual countries only for the advanced and particular cases of China and Italy) and average intraday return volatility throughout the tradable financial indices of the region.
We compare the dynamics of market stress with the recorded COVID-19 infection cases for 184 countries and relative markets around the world. We observe that most markets react with a surge in intraday volatility corresponding in time with the surge in recorded cases. Some countries such as Australia and in the Middle East record also an early exogenous market surge most likely triggered by their exposure to the commodity market and the initial outbreak in China. The observed market stress dynamics seems to indicate that market turmoil will eventually stabilize once the tide of human infection recedes. By Jeremy Turiel, Carolyn Phelan and Tomaso Aste
Financial Computing