The SARS-CoV-2 epidemics outbreak has shocked global financial markets, inducing policymakers to put in place unprecedented interventions to inject liquidity and to counterbalance the negative impact on worldwide financial systems. Through the lens of statistical physics, we examine the financial volatility of the reference stock and bond markets of the United States, United Kingdom, Spain, France, Germany and Italy to quantify the effects of country-specific socio-economic and political announcements related to the epidemics. Main results show that financial markets exhibit heterogeneous behaviours towards news on the epidemics, with the Italian and German bond markets responding with major delays to shocks. Additionally, credit markets tend to be slower than equity markets in adjusting prices after shocks, hence being slower at incorporating the effects of such news.

Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets

Pagnottoni P.;Flori A.;Pammolli F.
2021-01-01

Abstract

The SARS-CoV-2 epidemics outbreak has shocked global financial markets, inducing policymakers to put in place unprecedented interventions to inject liquidity and to counterbalance the negative impact on worldwide financial systems. Through the lens of statistical physics, we examine the financial volatility of the reference stock and bond markets of the United States, United Kingdom, Spain, France, Germany and Italy to quantify the effects of country-specific socio-economic and political announcements related to the epidemics. Main results show that financial markets exhibit heterogeneous behaviours towards news on the epidemics, with the Italian and German bond markets responding with major delays to shocks. Additionally, credit markets tend to be slower than equity markets in adjusting prices after shocks, hence being slower at incorporating the effects of such news.
2021
Bond markets
COVID-19
News
Omori law
Statistical physics
Stock markets
File in questo prodotto:
File Dimensione Formato  
IRIS_PHYSICAA_2021.pdf

accesso aperto

: Post-Print (DRAFT o Author’s Accepted Manuscript-AAM)
Dimensione 954.35 kB
Formato Adobe PDF
954.35 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/1184585
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 24
  • ???jsp.display-item.citation.isi??? 14
social impact