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COVID-19 Effects on the S&P 500 Index

Author

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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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    References listed on IDEAS

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    Cited by:

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    15. Zhou, Zhiping & Wang, Kai, 2025. "War discourse predicts stock market volatility: A century of evidence," Finance Research Letters, Elsevier, vol. 82(C).
    16. 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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    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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