Abstract
This chapter investigates the stock market implications of COVID-19 using high-frequency data. Our analysis covers three aspects. First, we compare intraday volatility patterns of the S&P 500 during COVID-19 with those before COVID-19. Second, we document changes to intraday return predictability of the S&P 500 before and during COVID-19. Third, we examine the Heston (1993) stochastic volatility model during COVID-19 and compare to previous market events. Our empirical findings suggest that, during COVID-19, there is more disagreement among market participants in processing new information, and market makers are more concerned about inventory risk.
Type
Publication
In Financial Transformations beyond the Covid-19 Health Crisis
