Abstract
I investigate the impact of COVID-19 cases and related deaths on the US stock market (Dow Jones and S&P500 indices), allowing for changes in trading volume and volatility expectations, as well as day-of-the-week effects. The results, based a GARCH(1,1) model and data from April 8, 2019 to April 9, 2020, suggest that changes in the number of cases and deaths in the US and six other countries majorly affected by the COVID-19 crisis do not have an impact on the US stock market returns, apart from the number of reported cases for China. However, there is evidence of a positive impact, for some countries, on the conditional heteroscedasticity of the Dow Jones and S&P500 returns. VAR models suggest that the number of reported deaths in Italy and France have a negative impact on stock market returns, and a positive impact on the VIX returns. Finally, Markov-Switching models suggest that at the end of February 2020 the magnitude of the negative impact of the VIX on stock market returns increased threefold.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.