实证检验 COVID-19 危机期间美国股票收益的驱动因素。
Empirical Examination on the Drivers of the U.S. Equity Returns in the During the COVID-19 Crisis.
机构信息
Department of Finance, Economics and Management School, Wuhan University, Wuhan, China.
School of Accounting, Tianjin University of Commerce, Tianjin, China.
出版信息
Front Public Health. 2021 May 21;9:679475. doi: 10.3389/fpubh.2021.679475. eCollection 2021.
Abstract
This study investigates the drivers of the Standard & Poor's (S&P) 500 equity returns during the COVID-19 crisis era. The paper considers various determinants of the equity returns from December 31, 2019, to February 19, 2021. It is observed that the United States Dollar (USD) and the volatility indices (VIX) negatively affect the S&P 500 equity returns. However, the newspaper-based infectious disease "equity market volatility tracker" is positively associated with the stock market returns. These results are robust to consider both the ordinary least squares (OLS) and the least angle regression (LARS) estimators.
摘要
本研究调查了 COVID-19 危机期间标准普尔 500 指数股票收益的驱动因素。本文考虑了从 2019 年 12 月 31 日至 2021 年 2 月 19 日期间影响股票收益的各种决定因素。研究结果表明，美元和波动率指数（VIX）对标准普尔 500 指数股票收益产生负面影响。然而，基于报纸的传染病“股票市场波动率追踪器”与股票市场收益呈正相关。这些结果在考虑普通最小二乘法（OLS）和最小角回归（LARS）估计量时都是稳健的。
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