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A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19

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  • Jiawei Du

Abstract

We studied the volatility and cross-sectional return dispersion effect of S&P Health Care Sector under the covid-19 epidemic. We innovatively used the Google index to proxy the impact of the epidemic and modeled the volatility. We also studied the influencing factors of the log-return of S&P Energy Sector and S&P Health Care Sector. We found that volatility is significantly affected by both the epidemic and cross-sectional return dispersion, and the coefficients in front of them are all positive, which means that the herding behaviour did not exist and as the cross-sectional return dispersion increases and the epidemic becomes more severe, the volatility of stock returns is also increasing. We also found that the epidemic has a significant negative impact on the return of the energy sector, and finally we provided our suggestions to investors.

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  • Jiawei Du, 2020. "A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19," Papers 2007.11546, arXiv.org, revised Mar 2021.
    • Handle: RePEc:arx:papers:2007.11546
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