Yousfi Mohamed, Ben Zaied Younes, Ben Cheikh Nidhaleddine, Ben Lahouel Béchir, Bouzgarrou Houssem
IHEC, Sousse University, Tunisia.
EDC Paris Business School, France.
Technol Forecast Soc Change. 2021 Jun;167:120710. doi: 10.1016/j.techfore.2021.120710. Epub 2021 Feb 27.
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.
本文首次对新冠疫情第一波和第二波对美国股市及其不确定性的影响进行了比较评估。为此，我们研究了新冠危机之前及期间美中股市之间的动态条件相关性以及冲击对相关性的不对称影响。此外，我们分析并比较了新冠疫情第一波和第二波期间疫情与美国股市回报及不确定性之间的关系。首先，我们发现动态相关性方法支持两个股市之间存在波动溢出（传染效应），尤其是在美国新冠疫情快速传播阶段。其次，对新闻影响相关曲面的分析表明，美国和中国市场的冲击对两个市场之间的相关性具有不对称影响。最后，我们发现在疫情爆发的第一波和第二波期间，美国股市回报、不确定性与新冠疫情之间存在持续联系。我们的结果证明，疫情总体上对金融市场，尤其是对美国经济产生了有害影响。
