A crisis like no other? Financial market analogies of the COVID-19-cum-Ukraine war crisis

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2024-05-23 DOI:10.1016/j.najef.2024.102194

Julián Andrada-Félix , Fernando Fernández-Rodríguez , Simón Sosvilla-Rivero

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Abstract

In this paper, we examine the dynamic behaviour of the US stock market due to the subsequent impact of the COVID-19 outbreak and the war in Ukraine. To that end, we analyse daily data of Dow Jones Industrial Average returns from 2 January 1900 to 31 October 2022. Firstly, we identify past crisis episodes similar to the current situation. Then, we compare the volatility dynamics, variation-fluctuation correlation functions, and correlation with uncertainty indicators with those induced by the COVID-19 epidemic and the subsequent Russo-Ukrainian conflict. Our findings suggest that the consecutive occurrence of these unexpected events has had more severe adverse effects on the US stock market than those recorded in similar past episodes. Additionally, we found that the events are highly correlated with indicators of economic policy uncertainty and financial market fear.

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前所未有的危机？COVID-19暨乌克兰战争危机的金融市场类比

在本文中，我们研究了美国股市在 COVID-19 爆发和乌克兰战争的后续影响下的动态行为。为此，我们分析了 1900 年 1 月 2 日至 2022 年 10 月 31 日期间道琼斯工业平均指数的每日收益数据。首先，我们确定了与当前情况类似的以往危机事件。然后，我们将波动动态、变异-波动相关函数以及与不确定性指标的相关性与 COVID-19 疫情和随后的俄乌冲突所引发的波动动态、变异-波动相关函数以及与不确定性指标的相关性进行比较。我们的研究结果表明，与以往类似事件相比，这些突发事件的连续发生对美国股市造成了更严重的不利影响。此外，我们还发现这些事件与经济政策不确定性指标和金融市场恐慌情绪高度相关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.