What explains stock market behavior in the early weeks of the coronavirus pandemic? Estimates from a dynamic asset …

with volatility …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …

institutions predicts higher volatility and greater noise in stock prices as well as greater fragility in times of crisis. When …

volatility back to 1985. We also evaluate potential explanations for the unprecedented stock market reaction to the COVID-19 …

We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock … tackle several measurement issues assessing a plethora of state-of-the-art volatility forecasting models. We then examine the … predictive power of the VIX and its two components for stock market returns and economic activity. The variance premium predicts …