新冠肺炎疫情对标普500指数板块的影响:一个多元广义自回归条件异方差模型

IF 1.1 Q3 ECONOMICS

Journal of Chinese Economic and Foreign Trade Studies Pub Date : 2021-02-11 DOI:10.1108/JCEFTS-08-2020-0049

Maha Elhini, R. Hammam

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引用次数: 9

摘要

目的：本文旨在研究美国新冠肺炎病例日增长率（COVIDg）、联邦基金利率（FFR）和贸易加权美元指数（USDX）对SPfirst（2020年1月22日至2020年3月30日）的影响，反映美国市场的不确定性，反映封锁发现：MGARCH模型的结果显示，新冠肺炎与美国政府在限制条件下增加流动性的SPincreasing财政措施之间存在负相关；美联储缓解美元资金短缺的措施；支持市场诚信；确保信息的持续透明和共享；支持卫生部门以及面临需求冲击的消费者部门，并促进对科技部门的投资原创/价值：本文的原创之处在于分别研究了新型新冠肺炎疫情对构成标准普尔500指数的11个部门的影响，反映了构成美国经济的主要经济部门在疫情高峰期对冲击的反应，以观察疫情期间经济后果的全貌©2021，Emerald Publishing Limited

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The impact of COVID-19 on the standard & poor 500 index sectors: a multivariate generalized autoregressive conditional heteroscedasticity model

Purpose: This paper aims to examine the impact of the daily growth rate of COVID-19 cases in the USA (COVIDg), the Federal Fund Rate (FFR) and the trade-weighted US dollar index (USDX) on SPfirst, January 22, 2020, until March 30, 2020, reflecting uncertainty in the US markets and second, from April 1, 2020, until June 30, 2020, reflecting the lockdown Findings: Results of the MGARCH model reveal a negative and significant relation between COVIDg and SPincreasing fiscal measures by the US Government to increase liquidity on constraints;measures by The Federal Reserve to alleviate US dollar funding shortages;support market integrity;ensure continuous transparency and sharing of information;support the health sector, as well as consumer-based sectors that faced demand shocks and facilitate investments in the technology sector Originality/value: The originality of this paper lies in the examination of the impact of the novel COVID-19 pandemic on each of the 11 sectors constituting the S&P500 index separately, reflecting how the main economic sectors formulating the US economy reacted to the shock during the peak time of the pandemic to observe a full picture of the economic consequences amid the pandemic © 2021, Emerald Publishing Limited

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来源期刊

Journal of Chinese Economic and Foreign Trade Studies ECONOMICS-

CiteScore

3.40

自引率

4.20%

发文量

期刊介绍： The Journal of Chinese Economic and Foreign Trade Studies (JCEFTS) negotiates China''s unique position within the international economy, and its interaction across the globe. From a truly international perspective, the journal publishes both qualitative and quantitative research in all areas of Chinese business and foreign trade, technical economics, business environment and business strategy. JCEFTS publishes high quality research papers, viewpoints, conceptual papers, case studies, literature reviews and general views. Emphasis is placed on the publication of articles which seek to link theory with application, or critically analyse real situations in terms of Chinese economics and business in China, with the objective of identifying good practice in these areas and assisting in the development of more appropriate arrangements for addressing crucial issues of Chinese economics and business. Papers accepted for publication will be double–blind peer-reviewed to ensure academic rigour and integrity.