Dr. Kwan Yong Lee, Associate Professor in the Department of Economics & Finance, paper accepted in the Journal of Applied Economics.
Please join us in congratulating Dr. Kwan Yong Lee, Associate Professor in the Department of Economics & Finance for the recent acceptance of his working paper “The Risk Transmission of COVID-19 In The US Stock Market,” in the Journal of Applied Economics.
Author: Kwan Yong Lee (University of North Dakota), Seungo Baek (City University of New York)
Journal: Applied Economics (JQL tier 3)
Abstract: This paper studies volatility transmission effects between the US stock market and the COVID-19. Using BEKK-multivariate GARCH model, we find the US stock market volatility depends both its own past shocks and past COVID-19 shocks. Further, we find the US stock market volatility is positively affected by the death rate (bad news) while the recovered rate (good news) has a negative impact on the US stock market volatility. In addition, we find there is an asymmetric volatility impact of COVID-19 on the US stock market: the bad news affects the current US stock market much more than the good news. Our fixed effect panel regression results support the volatility spillover effects.