Turbulence in the financial markets: Cross-country differences in market volatility in response to COVID-19 pandemic policies

COVID-19 has had far-reaching global effects on the health and wellbeing of individuals on every continent. The economic and financial market response has been equally disastrous with high levels of volatility. This study explores temporal relations between structural breaks, market volatility and government policy interventions for 28 countries and their respective financial market indices.File description:Scripts:breaks.do – test for the unknown structural breaks in the turnover data.turnover.do – merge the mobility dataset (change in mobility to residential), stay-at-home policy, COVID stats, and turnover. It also generates the dataset for the R code (should upload yours) and the rest of the analysis.hurstexponent.R - estimates/calculates log returns, performs STL Decomposition and MFDFA analysis. Data:mobility.dat - Google mobility databloomberg_turnover.dat - Raw traded value from Bloombergturnover.do - merged traded value datacsse.dat - COVID-19 statisticsPlease contact [email protected] for questions and refer to our accompanying paper. Recommended Citation: TBAData use policy: Creative Commons Attribution CC BY standard.