IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v30y2023i17p2364-2369.html
   My bibliography  Save this article

Financial market analogies of the COVID-19 pandemic: evidence from the Dow Jones Industrial Average Index

Author

Listed:
  • Julián Andrada-Félix
  • Fernando Fernández-Rodríguez
  • Simón Sosvilla-Rivero

Abstract

This article tries to shed light on the historical analogies of the ongoing COVID-19 pandemic. To that end, we compare the sample distribution of Dow Jones Industrial Average Index returns for a 420-day period (from 2 January 2020 to 31 August 2021), with all historical sample distributions of returns computed using a moving window of 420 days in the 2 January 1900 to 1 May 2018 period. We find that the stock market return distribution during the pandemic would be similar to several past sub-periods of severe financial crises that evolved into intense recessions, being the sub-sample from 3 June 1986 to 28 January 1988 the most analogous episode to the present situation. Furthermore, we also identify a period from 23 June 1931 to 24 February 1933 where the severity of the crisis overcomes the pandemic situation having sharper tail events. Finally, we find that the current stock market CVaR risk is not higher than that observed during the 1930s.

Suggested Citation

  • Julián Andrada-Félix & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2023. "Financial market analogies of the COVID-19 pandemic: evidence from the Dow Jones Industrial Average Index," Applied Economics Letters, Taylor & Francis Journals, vol. 30(17), pages 2364-2369, October.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:17:p:2364-2369
    DOI: 10.1080/13504851.2022.2097172
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2022.2097172
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2022.2097172?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:30:y:2023:i:17:p:2364-2369. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.