Empirical study and model simulation of global stock market dynamics during COVID-19

Lifu Jin; Bo Zheng; Jiahao Ma; Jiu Zhang; Long Xiong; Xiongfei Jiang; Jiangcheng Li

doi:10.1016/j.chaos.2022.112138

Empirical study and model simulation of global stock market dynamics during COVID-19

Chaos Solitons Fractals. 2022 Jun:159:112138. doi: 10.1016/j.chaos.2022.112138. Epub 2022 Apr 26.

Authors

Lifu Jin¹, Bo Zheng^{2

1

3}, Jiahao Ma¹, Jiu Zhang¹, Long Xiong², Xiongfei Jiang⁴, Jiangcheng Li⁵

Affiliations

¹ School of Physics, Zhejiang University, Hangzhou 310027, PR China.
² School of Physics and Astronomy, Yunnan University, Kunming 650091, PR China.
³ Collaborative Innovation Center of Advanced Microstructures, Nanjing University, Nanjing 210093, PR China.
⁴ College of Finance and Information, Ningbo University of Finance and Economics, Ningbo 315175, PR China.
⁵ School of Finance, Yunnan University of Finance and Economics, Kunming 650221, PR China.

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.

Keywords: COVID-19; Complex systems; Financial dynamics; Heston model.