The initial phase of the COVID-19 pandemic was characterized by voluminous and highly negative news coverage. Markets overreacted to uninformative news, and reacted more to news during high volatility periods. News coverage responded to lagged market activity, and causally impacted contemporaneous returns. The early part of the pandemic contained feedback between news and markets, and represented a market availability cascade. I propose a test that uses markets and news data to identify the presence and end of such cascades. The COVID-19 cascade ended in March 2020, a determination that could have been made by the end of April. After the cascade ended, markets and news became less coupled.
Mamaysky, Harry. "News and Markets in the Time of COVID-19." Columbia Business School, June 11, 2021.
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