Pyo, Dong-Jin - In: East Asian Economic Review (EAER) 25 (2021) 2, pp. 205-230
This study examines the impact of the number of coronavirus cases on regime-switching in stock return volatility. This study documents the empirical evidence that the COVID-19 cases had an asymmetric effect on the regime of stock return volatility. When the stock return is in the low volatility...