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Research Master Pre-Defense

Price Discovery During the COVID-19 Pandemic

  • Series
    Research Master Defense
  • Speaker
    Lucas Ion Saru
  • Location
    Online
  • Date and time

    August 31, 2020
    11:00 - 12:00

I present a methodology to estimate both time-varying effects of COVID-19 infection numbers on asset prices as well as around-the-clock price discovery within a state space framework. I apply this model to a subset of the world's most actively traded futures contracts. My reduced-form estimation results suggest substantial time-variation in the effect of COVID-19 infection numbers. In the early stage of the pandemic in late February 2020, the impact of infection numbers on fundamental prices is estimated to be negative. After the announcement of economic relief programs, coefficients on infection numbers go to zero.