Empirical Study and Model Simulation of Global Stock Market Dynamics During Covid-19

18 Pages Posted: 17 Feb 2022

See all articles by Lifu Jin

Lifu Jin

Zhejiang University

Bo Zheng

Yunnan University

Jiahao Ma

Zhejiang University

Jiu Zhang

Zhejiang University

Long Xiong

Zhejiang University

Xiongfei Jiang

affiliation not provided to SSRN

Jiangcheng Li

Yunnan University of Finance and Economics

Abstract

At the beginning of 2020, COVID-19 swept the world and changed various aspects of human society, such as economy and finance, life and health, migration and population. We first empirically study how the dynamic behaviors of stock markets are affected by COVID-19, and focus on the large volatility dynamics, variation-fluctuation correlation function and epidemic-fluctuation correlation function. Then we generalize the Heston model to simulate the global stock market dynamics, and an epidemic index computed from empirical data is directly taken as the external force in the modelling.

Keywords: COVID-19, financial dynamics, complex systems, Heston model

Suggested Citation

Jin, Lifu and Zheng, Bo and Ma, Jiahao and Zhang, Jiu and Xiong, Long and Jiang, Xiongfei and Li, Jiangcheng, Empirical Study and Model Simulation of Global Stock Market Dynamics During Covid-19. Available at SSRN: https://ssrn.com/abstract=4010722 or http://dx.doi.org/10.2139/ssrn.4010722

Lifu Jin

Zhejiang University ( email )

38 Zheda Road
Hangzhou, 310058
China

Bo Zheng (Contact Author)

Yunnan University ( email )

Kunming, 650091
China

Jiahao Ma

Zhejiang University ( email )

38 Zheda Road
Hangzhou, 310058
China

Jiu Zhang

Zhejiang University ( email )

38 Zheda Road
Hangzhou, 310058
China

Long Xiong

Zhejiang University ( email )

38 Zheda Road
Hangzhou, 310058
China

Xiongfei Jiang

affiliation not provided to SSRN ( email )

No Address Available

Jiangcheng Li

Yunnan University of Finance and Economics ( email )

Longquan Road 237, Wuhua District
Kunming, 650221
China

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