The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/40707 |
Resumo: | Using daily data on COVID-19 growth rates, government stringency index, central bank monetary policy interventions and stock excess returns from January 1, 2020, to June 30, 2021, this study finds the COVID-19 epidemic had a negative impact on the S&P 500 and its stock constituents. The results show that both government containment measures and central bank monetary interventions fail to mitigate the adverse impact of COVID-19 on the US stock market. In the cross-industry analysis, financials, real estate, and technology sectors are the most disturbed by government containments, while consumer staples and utilities are the least sensitive to the variations of containments strictness. The empirical findings demonstrate that most of the central bank monetary policies do not alleviate the impact of the pandemic on equity markets. However, lending operations help mitigating such adverse impact. These results have crucial implications for investor decision-making, as well as providing valuable suggestions for central banks to further improve their policy instruments and design new policy packages to support the economy during unexpected crisis. |
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The impact of COVID-19, containment measures, and central bank monetary policy on the US stock marketCOVID-19Containment measuresMonetary policyPanel regressionDomínio/Área Científica::Ciências Sociais::Economia e GestãoUsing daily data on COVID-19 growth rates, government stringency index, central bank monetary policy interventions and stock excess returns from January 1, 2020, to June 30, 2021, this study finds the COVID-19 epidemic had a negative impact on the S&P 500 and its stock constituents. The results show that both government containment measures and central bank monetary interventions fail to mitigate the adverse impact of COVID-19 on the US stock market. In the cross-industry analysis, financials, real estate, and technology sectors are the most disturbed by government containments, while consumer staples and utilities are the least sensitive to the variations of containments strictness. The empirical findings demonstrate that most of the central bank monetary policies do not alleviate the impact of the pandemic on equity markets. However, lending operations help mitigating such adverse impact. These results have crucial implications for investor decision-making, as well as providing valuable suggestions for central banks to further improve their policy instruments and design new policy packages to support the economy during unexpected crisis.Utilizando dados diários sobre taxas de crescimento do COVID-19, índice de rigor da contenção, intervenções de política monetária do banco central e retornos em excesso de ações desde 1 de Janeiro de 2020, até 30 de Junho de 2021, este estudo conclui que a pandemia teve um impacto negativo sobre o S&P 500 e os seus constituintes. Os resultados mostram que tanto as medidas de contenção governamentais como as intervenções monetárias do banco central não conseguiram mitigar o impacto adverso do COVID-19 no mercado de ações dos Estados Unidos. Na análise intersectorial, os sectores financeiro, imobiliário e tecnológico são os mais perturbados pelas medidas de contenção governamentais, enquanto os bens de consumo básicos e os serviços públicos são os menos sensíveis às variações de rigor das medidas de contenção. As conclusões empíricas demonstram que a maioria das políticas monetárias do banco central não atenuam o impacto da pandemia nos mercados de ações. No entanto, as operações de crédito ajudam a atenuar esse impacto adverso. Estes resultados têm implicações importantes para a tomada de decisões dos investidores, bem como fornecem sugestões valiosas para os bancos centrais melhorarem ainda mais os seus instrumentos de política e conceberem novos pacotes de políticas para apoiar a economia durante crises inesperadas.Soares, Carla Sofia CaeiroVeritati - Repositório Institucional da Universidade Católica PortuguesaMak, Sofia Luan2023-03-27T07:12:11Z2022-07-062022-052022-07-06T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/40707TID:203133188enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:46:15Zoai:repositorio.ucp.pt:10400.14/40707Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:33:24.471107Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market |
title |
The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market |
spellingShingle |
The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market Mak, Sofia Luan COVID-19 Containment measures Monetary policy Panel regression Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market |
title_full |
The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market |
title_fullStr |
The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market |
title_full_unstemmed |
The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market |
title_sort |
The impact of COVID-19, containment measures, and central bank monetary policy on the US stock market |
author |
Mak, Sofia Luan |
author_facet |
Mak, Sofia Luan |
author_role |
author |
dc.contributor.none.fl_str_mv |
Soares, Carla Sofia Caeiro Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Mak, Sofia Luan |
dc.subject.por.fl_str_mv |
COVID-19 Containment measures Monetary policy Panel regression Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
COVID-19 Containment measures Monetary policy Panel regression Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Using daily data on COVID-19 growth rates, government stringency index, central bank monetary policy interventions and stock excess returns from January 1, 2020, to June 30, 2021, this study finds the COVID-19 epidemic had a negative impact on the S&P 500 and its stock constituents. The results show that both government containment measures and central bank monetary interventions fail to mitigate the adverse impact of COVID-19 on the US stock market. In the cross-industry analysis, financials, real estate, and technology sectors are the most disturbed by government containments, while consumer staples and utilities are the least sensitive to the variations of containments strictness. The empirical findings demonstrate that most of the central bank monetary policies do not alleviate the impact of the pandemic on equity markets. However, lending operations help mitigating such adverse impact. These results have crucial implications for investor decision-making, as well as providing valuable suggestions for central banks to further improve their policy instruments and design new policy packages to support the economy during unexpected crisis. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-07-06 2022-05 2022-07-06T00:00:00Z 2023-03-27T07:12:11Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/40707 TID:203133188 |
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http://hdl.handle.net/10400.14/40707 |
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TID:203133188 |
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eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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