Financial earthquakes: SARS-CoV-2 news shock propagation in stock and sovereign bond markets.

The SARS-CoV-2 epidemics outbreak has shocked global financial markets, inducing policymakers to put in place unprecedented interventions to inject liquidity and to counterbalance the negative impact on worldwide financial systems. Through the lens of statistical physics, we examine the financial volatility of the reference stock and bond markets of the United States, United Kingdom, Spain, France, Germany and Italy to quantify the effects of country-specific socio-economic and political announcements related to the epidemics. Main results show that financial markets exhibit heterogeneous behaviours towards news on the epidemics, with the Italian and German bond markets responding with major delays to shocks. Additionally, credit markets tend to be slower than equity markets in adjusting prices after shocks, hence being slower at incorporating the effects of such news. • We study financial effects of socio-economic and political news related to SARS-CoV-2 pandemics. • We investigate the impact of SARS-CoV-2 related news on major equity and bond markets through the lens of seismology. • We show that financial markets exhibit heterogeneous behaviours towards news on the epidemic. • Bond markets tend to be slower than equity markets in adjusting prices after shocks. • Italian and German bond markets respond with major delays to shock. [ABSTRACT FROM AUTHOR]