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COVID-19 Effects on the S&P 500 Index

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  • Hakan Yilmazkuday

    (Department of Economics, Florida International University)

Abstract

This paper investigates the effects of the coronavirus disease 2019 (COVID-19) cases in the U.S. on the S&P 500 Index using daily data covering the period between January 21st, 2020 and August 10th, 2021. The investigation is achieved by using a structural vector autoregression model, where a measure of the global economic activity and the spread between 10-year treasury constant maturity and the federal funds rate are also included. The empirical results suggest that having 1% of an increase in cumulative daily COVID-19 cases in the U.S. results in about 0.01% of a cumulative reduction in the S&P 500 Index after one day and about 0.03% of a reduction after one week. Historical decomposition of the S&P 500 Index further suggests that the negative effects of COVID-19 cases in the U.S. on the S&P 500 Index have been mostly observed during March 2020.

Suggested Citation

  • Hakan Yilmazkuday, 2021. "COVID-19 Effects on the S&P 500 Index," Working Papers 2117, Florida International University, Department of Economics.
    • Handle: RePEc:fiu:wpaper:2117
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    Cited by:

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    3. Marek Nagy & Katarina Valaskova & Erika Kovalova & Marcel Macura, 2024. "Drivers of S&P 500’s Profitability: Implications for Investment Strategy and Risk Management," Economies, MDPI, vol. 12(4), pages 1-24, March.
    4. Chen, Song Xi & Guo, Bin & Qiu, Yumou, 2023. "Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding," Journal of Econometrics, Elsevier, vol. 235(2), pages 1337-1354.
    5. Li, Zhao-Chen & Xie, Chi & Zeng, Zhi-Jian & Wang, Gang-Jin & Zhang, Ting, 2023. "Forecasting global stock market volatilities in an uncertain world," International Review of Financial Analysis, Elsevier, vol. 85(C).
    6. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi & Omed Rafiq Fatah & Awaz Mohamed Saleem, 2023. "Oil Exports, Political Issues, and Stock Market Nexus," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 362-373, January.
    7. Salisu, Afees A. & Shaik, Muneer, 2022. "Islamic Stock indices and COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 282-293.
    8. Mehmet Ali Balcı & Larissa M. Batrancea & Ömer Akgüller & Lucian Gaban & Mircea-Iosif Rus & Horia Tulai, 2022. "Fractality of Borsa Istanbul during the COVID-19 Pandemic," Mathematics, MDPI, vol. 10(14), pages 1-33, July.
    9. Alam, Md Shabbir & Murshed, Muntasir & Manigandan, Palanisamy & Pachiyappan, Duraisamy & Abduvaxitovna, Shamansurova Zilola, 2023. "Forecasting oil, coal, and natural gas prices in the pre-and post-COVID scenarios: Contextual evidence from India using time series forecasting tools," Resources Policy, Elsevier, vol. 81(C).

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    More about this item

    Keywords

    Coronavirus; COVID-19; S&P 500 Index; Baltic Dry Index;
    All these keywords.

    JEL classification:

    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • I10 - Health, Education, and Welfare - - Health - - - General

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