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Fernando Díaz y Pablo Henríquez en research in International Business and Finance
El artículo analiza el efecto que tiene sobre los mercados de acciones las noticias y anuncios en torno a la pandemia del Covid-19, específicamente ante la variación del número reproductivo efectivo R
La revista académica Research in International Business and Finance publicó recientemente un artículo de los profesores de la Facultad de Economía y Empresa UDP Fernando Díaz y Pablo Henríquez, ambos del departamento de administración y del Centro de Investigación Empírica en Negocios UDP (CIEN UDP).
The media has prominently featured the totemic reproductive number in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about affects the volatility in stock markets worldwide and find that when is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on volatility. Our results hold after controlling for government interventions and several robustness checks.
Puedes revisar el paper completo aquí
