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Journals / Uluslararası İktisadi ve İdari İncelemeler Dergisi / 2022 / Cilt: 0 - Sayı: 35

THE IMPACT OF THE COVID-19 OUTBREAK ON THE VOLATILITY OF THE S&P 500 INDEX

COVID-19 SALGINININ S&P 500 ENDEKSİ OYNAKLIĞI ÜZERİNDEKİ ETKİSİ

Emre ÜRKMEZ
Pages
47–60
Publication Date
2022-11-06
DOI
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AI Summary & Key Takeaways

AI Insight
⚡ TL;DR(Too Long; Didn't Read)

The findings indicate that daily reported COVID-19 cases in the USA have statistically insignificant effect on stock returns in short-term.

📌 3 Key Takeaways

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Objective & Hypothesis:A new type of coronavirus disease (COVID-19), known as SARS-CoV-2 is not only an unprecedented health crisis but it is also expected to become one of the most costly pandemics affecting the global economy in recent history.
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Key Findings & Data:Recent studies (Apergis and Apergis (2020), Baig vd. (2021), Rai ve Garg (2021), Mazur ve Vega (2021)) show that the contagious effect of the COVID-19 outbreak increases the volatility of financial markets.
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Conclusion & Impact:The findings indicate that daily reported COVID-19 cases in the USA have statistically insignificant effect on stock returns in short-term.
🔬Design:Modeling & Simulation
📍Scope:2020 Verileri
⚙️Variables:Domain Parameters

Abstract

A new type of coronavirus disease (COVID-19), known as SARS-CoV-2 is not only an unprecedented health crisis but it is also expected to become one of the most costly pandemics affecting the global economy in recent history. Recent studies (Apergis and Apergis (2020), Baig vd. (2021), Rai ve Garg (2021), Mazur ve Vega (2021)) show that the contagious effect of the COVID-19 outbreak increases the volatility of financial markets. This paper aims to examine the impact of the COVID-19 outbreak on the volatility of S&P 500 stock market returns using daily data over the period from January 21, 2020 to April 09, 2021. To this end, the volatility of stock returns is analyzed by using a GARCH-X model. The GARCH-X model allows us to include COVID-19 factor as an exogenous variable in the mean and conditional variance equations. The findings indicate that daily reported COVID-19 cases in the USA have statistically insignificant effect on stock returns in short-term. However, as the results indicate, the COVID-19 outbreak has a positive and statistically significant impact on the volatility of these stock returns.

Özet

Yeni tip bir koronavirüs hastalığı (COVID-19) yakın tarihte yalnızca benzeri görülmemiş bir sağlık krizi değil, aynı zamanda küresel ekonomiyi etkisi altına alan en maliyetli pandemilerden biri olması bekleniyor. Son yapılan çalışmalar, COVID-19 salgınının bulaşıcılık etkisi ile finansal piyasaların oynaklığını arttırdığını gösteriyor. Bu çalışma, COVID-19 salgınının S&P 500 endeksi hisse senedi getirilerinin oynaklığı üzerindeki etkisini incelemeyi amaçlamaktadır. Bu amaçla hisse senedi getirilerinin oynaklığı21 Ocak 2020 ile 09 Nisan 2021 dönemleri arası günlük veriler kullanılarak GARCH-X modeli ile analiz edilmiştir. GARCH-X modeli COVID-19 faktörünü koşullu ortalama ve varyans denklemlerine bir dışsal değişken olarak ilave edilmesine izin vermektedir. Bulgular, ABD’de günlük olarak bildirilen COVID-19 vakalarının kısa dönemde hisse senedi getirileri üzerinde istatistiksel olarak anlamlı bir etkiye sahip değildir. Ancak, sonuçlar COVID-19 salgınının hisse senedi getirilerinin oynaklığı üzerinde pozitif ve istatistiksel olarak anlamlı bir etkiye sahip olduğunu göstermektedir. Genel olarak, sonuçlar COVID-19 salgınının hisse senedi getirilerinin oynaklığı üzerinde ciddi bir etkisi olabileceğine işaret etmektedir.

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Cite This Article

ÜRKMEZ, E. (2022). THE IMPACT OF THE COVID-19 OUTBREAK ON THE VOLATILITY OF THE S&P 500 INDEX. Uluslararası İktisadi ve İdari İncelemeler Dergisi, Cilt: 0 - Sayı: 35, 47–60. https://ajindex.com/articles/639986

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