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Economic Policy Uncertainty and Sectoral Trading Volume in the U.S. Stock Market: Evidence from the COVID-19 Crisis

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  • Dohyun Pak
  • Sun-Yong Choi
  • Sameh S. Askar

Abstract

We empirically analyze the impact of economic uncertainty due to the COVID-19 pandemic on the trading volume of each sector in the S&P 500 index. Wavelet coherence analysis is carried out using economic policy uncertainty data and the trading volume of each sector in the S&P 500 index from July 2004 to September 2020. Furthermore, we apply multifractal detrended fluctuation (MF-DFA) analysis to the trading volume series of all sectors. The wavelet coherence analysis shows that the COVID-19 pandemic has substantially influenced trading volume in all sectors. However, the impact of the pandemic is different from that during the global financial crisis in some sectors, such as information technology, consumer discretionary, and communication services. Because of the lockdown taken to suppress COVID-19, increased remote working and remote learning are the main reasons for these results. Additionally, according to the MF-DFA analysis, the trading volume of all the sectors has clear multifractal characteristics, and they are all nonpersistent. Specifically, trading volumes of the real estate and materials sector are highly correlated, whereas the trading volumes of industry and information technology sectors are comparatively less correlated.

Suggested Citation

  • Dohyun Pak & Sun-Yong Choi & Sameh S. Askar, 2022. "Economic Policy Uncertainty and Sectoral Trading Volume in the U.S. Stock Market: Evidence from the COVID-19 Crisis," Complexity, Hindawi, vol. 2022, pages 1-15, April.
    • Handle: RePEc:hin:complx:2248731
    DOI: 10.1155/2022/2248731
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    Cited by:

    1. Raza, Syed Ali & Sharif, Arshian & Kumar, Satish & Ahmed, Maiyra, 2023. "Connectedness between monetary policy uncertainty and sectoral stock market returns: Evidence from asymmetric TVP-VAR approach," International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Faheem Aslam & Paulo Ferreira & Haider Ali & Arifa & Márcia Oliveira, 2023. "Islamic vs. Conventional Equity Markets: A Multifractal Cross-Correlation Analysis with Economic Policy Uncertainty," Economies, MDPI, vol. 11(1), pages 1-18, January.

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