Purpose

Market volatility is subject to good or bad news and even responses to fake news and policy changes. In this piece of work, the authors consider the effects of the recent COVID-19 pandemic event on the global equity market, commodities and FX market, measured in terms of the investors' fear index.

Design/methodology/approach

In this empirical work, the authors employ time series-based regression models followed by augmented dummy regressions and growth of the COVID-19.

Findings

COVID-19-induced investors' fear appears to be higher in the equity segment for the first time since the market crash of 1987 and the global financial crisis of 2008–2009. Furthermore, this disease outbreak shock has been more pronounced in terms of crude oil prices. Besides, a market participant in the commodity and FX market has paid a disproportionate premium to protect such pandemic development. Findings show that Options act as the best hedge against an uncertainty like COVID-19 and that option-based implied volatility is the best measure of investors' fear and market volatility.

Practical implications

This study has practical implications for the financial markets, e.g. (1) Contagious disease outbreak news matters for the equity, commodity, and foreign exchange markets – empirical outcome validates the theory of market efficiency valid for the Options. (2) Option's implied volatility is the best indicator of investor fear measured for the unprecedented economic news. Further implication holds for the policymakers and society, e.g. (1) The unavailability of short-selling could be one plausible reason for increased uncertainty and volatility; hence, policymakers should look upon this issue at the exchange level. (2) Any market needs multiple lines of risk management, effective price discovery and attractive liquidity.

Originality/value

The study is novel in terms of presenting market behavior amid COVID-19 across global equity markets and commodities and FX markets.

中文翻译：

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疾病爆发消息会影响股票、商品和外汇市场吗？投资者对COVID-19大流行的恐惧

目的

市场波动取决于好消息或坏消息，甚至是对假新闻和政策变化的反应。在这篇文章中，作者根据投资者的恐惧指数来衡量最近的 COVID-19 大流行事件对全球股票市场、商品和外汇市场的影响。

设计/方法/方法

在这项实证工作中，作者采用了基于时间序列的回归模型，然后是增强虚拟回归和 COVID-19 的增长。

发现

自 1987 年市场崩盘和 2008 年至 2009 年全球金融危机以来，COVID-19 引发的投资者对股票领域的担忧似乎首次上升。此外，就原油价格而言，这种疾病爆发的冲击更为明显。此外，商品和外汇市场的市场参与者为保护这种流行病的发展付出了不成比例的溢价。调查结果表明，期权是对 COVID-19 等不确定性的最佳对冲，基于期权的隐含波动率是衡量投资者恐惧和市场波动的最佳指标。

实际影响

本研究对金融市场具有实际意义，例如 (1) 传染病爆发新闻对股票、商品和外汇市场很重要——实证结果验证了对期权有效的市场效率理论。(2) 期权的隐含波动率是衡量投资者对前所未有的经济消息的恐惧的最佳指标。对政策制定者和社会的进一步影响，例如（1）卖空的不可用可能是增加不确定性和波动性的一个合理原因；因此，政策制定者应该在交易所层面看待这个问题。(2) 任何市场都需要多条风险管理、有效的价格发现和有吸引力的流动性。

原创性/价值

该研究在展示全球股票市场、商品和外汇市场的 COVID-19 中的市场行为方面是新颖的。