The Implications of Contemporary Research on COVID-19 for Volatility and Portfolio Management
综述了COVID-19相关的金融经济学研究，探讨疫情引发的市场波动和不确定性如何通过投资者行为、企业策略等渠道传导至金融市场，并讨论其对波动性和风险管理的启示。
This article synthesizes recent and ongoing finance and economics research on pandemic and disaster risk related to COVID-19. Characterized by pronounced market movements and extreme volatility, the unprecedented disruption to the economy in early 2020 has inspired a rich, burgeoning literature on the financial and economic ramifications of pandemic risk. Financial economists have cultivated fresh perspectives regarding the transmission of pandemic-induced uncertainty to financial markets via channels related to the beliefs and behaviors of investors as well as corporate strategies and outcomes. These findings also highlight the imperative role of government policy responses in regulating the market volatility triggered by large-scale disasters such as the pandemic. In this article, the authors take stock of this emerging literature, focusing on the implications for volatility and risk management. In doing so, they discuss the unique nature of the uncertainty induced by COVID-19 relative to that of past crises. They also review cutting-edge studies that use innovative analytical approaches and novel sources of data, offering fruitful avenues for future research. <bold>TOPICS:</bold> <ext-link>Tail risks</ext-link>, <ext-link>financial crises and financial market history</ext-link>, <ext-link>big data/machine learning</ext-link> <bold>Key Findings</bold> <list><list-item> ▪ We synthesize recent and ongoing research in the finance and economics literature on pandemic and disaster risk related to COVID-19 and discuss the implications for asset pricing, volatility, and risk management. </list-item><list-item> ▪ Pandemic-induced uncertainty led to extreme market movements in early 2020. We explore possible channels, such as investor beliefs and behaviors and corporate strategies, through which this risk was transmitted to the financial markets. </list-item><list-item> ▪ Lessons learned from the recent pandemic will continue to have implications for volatility and risk management, even after the pandemic ends. </list-item></list>