Empirical study and model simulation of global stock market dynamics during COVID-19. (June 2022)

• Record Type: Journal Article
• Authors: Jin, Lifu; Zheng, Bo; Ma, Jiahao; Zhang, Jiu; Xiong, Long; Jiang, Xiongfei; Li, Jiangcheng
• Is Part Of: Chaos, solitons and fractals. Volume 159(2022)
• Publication Date: 2022-06
• Subjects: COVID-19 -- Financial dynamics -- Complex systems -- Heston model; Chaotic behavior in systems -- Periodicals; Solitons -- Periodicals; Fractals -- Periodicals; Chaotic behavior in systems; Fractals; Solitons; Periodicals; 003.7
• DOI: 10.1016/j.chaos.2022.112138
• Languages: English
• ISSNs: 0960-0779

Abstract

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. Highlights: Investigating dynamic behaviors of global stock markets during COVID-19 Studying the correlation between the epidemic and stock market dynamics Generalizing the Heston model to simulate the stock market dynamics