The Impact of COVID-19 on Volatility and Correlation of Financial Assets.

Identifier:  TFG:8736

Handle: https://hdl.handle.net/20.500.11797/TFG8736

Authors:  Fosch Franch, Josep

Abstract:
The COVID-19 crisis had a profound impact on global financial markets. This paper analyzes how various assets reacted to the pandemic, focusing on price changes, volatility and correlations before, during and after the crisis. Five assets with different profiles are studied: the MSCI World (global equity), the Bloomberg Global Aggregate (fixed income), the US dollar, gold and bitcoin. These assets allow us to observe differentiated behaviors based on their traditional role in the market: from risk assets to safe haven values.