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Impact of COVID-19 in the stock market: volatility spillover
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Orientador(es)
Resumo(s)
The world is experiencing an event with an effect never observed in history. With
uncertainty reigning in the world's daily life, this paper aims to evaluate and analyse the
effect of COVID-19 cases on the financial market, by studying the impact on the stock
returns in the US stock market, specifically the impact on the S&P 500 Index sectors. We
will apply a GARCH method to evaluate the volatility on the economic sectors, analysing
daily returns from 01st January 2013 to 29th April 2021. It will be considered 3 timelines
in the sample, denominated as Event 1 (between January 21st 2020, the first COVID-19
patient in the US, and 13th March 202); Event 2 (from March 27th 2020 to December 14th
2020); and Event 3 (18th December 2020 to 29th April 2021).
Our main evidences were that certain sectors were negatively affected by the COVID-19,
in the initial phase (Event 1), such as Energy, Industrial and Financial sectors. In the same
period, Consumer Discretionary and Information Technology had a positive impact from
the pandemic. As for the second phase (Event 2), Energy and Financials had a positive
improvement comparing with. However, Utilities, Real Estate and Consumer
Discretionary decreased their stock returns. Concerning Event 3, the COVID-19 cases
were statically insignificant for seven (7) sectors, Energy, Industrial, Health Care,
Consumer Staples, Consumer Discretionary, Information Technology and Materials. We
would like to highlight that there were sectors that during the Events, were resilient and
their returns were not impacted by the pandemic, either positively or negatively – Health
Care, Consumer Staples, Communication Services and Materials sectors.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
COVID-19 S&P 500 Stock Market Volatility Spillover Pandemic Event