Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves.
Effects of the COVID-19 pandemic on the US stock market and uncertainty: A comparative assessment between the first and second waves.
复制标题
新冠肺炎疫情对美国股市的影响和不确定性：第一波和第二波的比较评估。
DOI：
10.1016/j.techfore.2021.120710
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发表时间：
2021-06
影响因子：
12
通讯作者：
Bouzgarrou, Houssem
中科院分区：
文献类型：
--
作者：
Yousfi, Mohamed;Ben Zaied, Younes;Ben Cheikh, Nidhaleddine;Ben Lahouel, Bechir;Bouzgarrou, Houssem
关键词：
本文首次对正在进行的新冠肺炎疫情的第一波和第二波对美国股市的影响及其不确定性进行了比较评估。为此，我们考察了新冠肺炎危机前和危机期间中美股市的动态条件相关性以及冲击对中美股市相关性的非对称影响。此外，我们分析和比较了新冠肺炎大流行与美国在第一波和第二波大流行期间的回报和不确定性之间的关系。首先，我们发现动态相关方法支持两个股票市场之间存在波动溢出(传染效应)，特别是在新冠肺炎在美国的快速传播阶段。其次，对新闻影响关联面的分析表明，美国和中国市场的冲击对两个市场的相关性具有不对称的影响。最后，我们发现，在疫情的第一波和第二波期间，美国的回报、不确定性和新冠肺炎大流行之间存在持久的联系。我们的结果证明，这场大流行对整个金融市场、尤其是美国经济造成了有害后果。
This paper makes the first comparative assessment of the impacts of the first and second waves of the ongoing COVID-19 pandemic for the US stock market and its uncertainty. To this end, we investigate the dynamic conditional correlation and the asymmetric impacts of shocks on the correlation between the US and Chinese stock markets before and during the COVID-19 crisis. Furthermore, we analyze and compare the relationship between the COVID-19 pandemic and US returns and uncertainty during the first and second waves of the pandemic. First, we find that the dynamic correlation approach supports the presence of volatility spillovers (contagion effects) between the two stock markets, especially during the rapid spread phase of COVID-19 in the US. Second, the analysis of news impact correlation surfaces shows that the shocks to the US and Chinese markets have asymmetric effects on the correlation between the two markets. Finally, we find a persistent link between US returns, uncertainty, and the COVID-19 pandemic during the first and second waves of the outbreak. Our results prove that the pandemic has shown harmful consequences for financial markets in general and the US economy in particular.
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DOI：
10.1007/s41885-020-00077-w
发表时间：
2021
期刊：
Economics of disasters and climate change
影响因子：
--
作者：
Katafuchi Y;Kurita K;Managi S
通讯作者：
Managi S
影响因子：
8.2
作者：
Sharif A;Aloui C;Yarovaya L
通讯作者：
Yarovaya L
影响因子：
4.7
作者：
Pal, Debdatta;Mitra, Subrata K.
通讯作者：
Mitra, Subrata K.
影响因子：
13.1
作者：
Baker, Scott R.;Farrokhnia, Robert A.;Yannelis, Constantine
通讯作者：
Yannelis, Constantine
影响因子：
10.4
作者：
Corbet, Shaen;Hou, Yang;Oxley, Les
通讯作者：
Oxley, Les