2021/01/01 by Hakan Yilmazkuday · 1 voice
Economics, Econometrics and Finance · Mathematics · #COVID-19 Pandemic Impacts #COVID-19 epidemiological studies #Financial Markets and Investment Strategies #Market Dynamics and Volatility
paper · doi:10.1080/13504851.2021.1971607
openalex publication_date 2021/01/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/04/28
This paper investigates the effects of the coronavirus disease 2019 (COVID-19) cases in the U.S. on the S&P 500 Index using daily data covering the period between January 21st, 2020 and August 10th, 2021. The investigation is achieved by using a structural vector autoregression model, where a measure of the global economic activity and the spread between 10-year treasury constant maturity and the federal funds rate are also included. The empirical results suggest that having 1% of an increase in cumulative daily COVID-19 cases in the U.S. results in about 0.01% of a cumulative reduction in the S&P 500 Index after one day and about 0.03% of a reduction after one week. Historical decomposition of the S&P 500 Index further suggests that the negative effects of COVID-19 cases in the U.S. on the S&P 500 Index have been mostly observed during March 2020.