Jana Rabin K, Ghosh Indranil, Jawadi Fredj, Uddin Gazi Salah, Sousa Ricardo M
Operations & Quantitative Methods Area, Indian Institute of Management Raipur, Atal Nagar, CG 493661 India.
IT & Analytics Area, Institute of Management Technology Hyderabad, Shamshabad, Hyderabad, Telangana 501218 India.
Ann Oper Res. 2022 Jun 8:1-22. doi: 10.1007/s10479-022-04744-x.
This study investigates the impact of COVID-19 on the US equity market during the first wave of Coronavirus using a wide range of econometric and machine learning approaches. To this end, we use both daily data related to the US equity market sectors and data about the COVID-19 news over January 1, 2020-March 20, 2020. Accordingly, we show that at an early stage of the outbreak, global COVID-19s fears have impacted the US equity market even differently across sectors. Further, we also find that, as the pandemic gradually intensified its footprint in the US, local fears manifested by daily infections emerged more powerfully compared to its global counterpart in impairing the short-term dynamics of US equity markets.
本研究采用多种计量经济学和机器学习方法，调查了在新冠病毒第一波疫情期间，新冠疫情对美国股票市场的影响。为此，我们使用了与美国股票市场板块相关的每日数据，以及2020年1月1日至2020年3月20日期间有关新冠疫情新闻的数据。据此，我们表明，在疫情爆发的早期阶段，全球对新冠疫情的担忧对美国股票市场的影响在不同行业甚至也有所不同。此外，我们还发现，随着疫情在美国的影响范围逐渐扩大，每日新增感染病例所体现的本土担忧，在损害美国股票市场短期动态方面，比全球担忧表现得更为强烈。
