VPL - How Factors In Asia Have Reacted To COVID-19
By Marlies van Boven, managing director, research & analytics
When examining factor rotation and volatility in Asian stocks in response to COVID-19, it's immediately striking how late all markets reacted to the coronavirus threat.
Using factor volatilities as defined by the Axioma Asia risk model, there was no reaction from the markets to the outbreak of the Coronavirus in China in January. Even WHO 's declaration of an international emergency didn't increase volatility.
As the first chart below shows, when the first deaths were announced in Italy, in late February, markets started to react. On