The covid-19 timeline: returns and volatility movements in different sectors

Detalhes bibliográficos
Autor(a) principal: Hassdenteufel, Catrin
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/143039
Resumo: As described in the joint work of Adams and Hassdenteufel (2021), to capture stock market volatility amid the Covid-19 pandemic, a GARCH model is appropriate. Here, this is applied by studying the stand-alone Covid-19 impact on volatility of the S&P500 and its sectors. Controlling for additional factors IR, CPI, BAA10Y, EPU and OIL, a positive and significant Covid-19 effect on volatility of returns is detected in all sectors, except for Information Technology. This impact seems stronger in some sectors such as Energy, Materials and Financials. Preceding this, we thoroughly describe the Covid-19 timeline with regards to monetary and fiscal interventions.
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spelling The covid-19 timeline: returns and volatility movements in different sectorsCovid-19VolatilityUs stock marketGicsGarch modelDomínio/Área Científica::Ciências Sociais::Economia e GestãoAs described in the joint work of Adams and Hassdenteufel (2021), to capture stock market volatility amid the Covid-19 pandemic, a GARCH model is appropriate. Here, this is applied by studying the stand-alone Covid-19 impact on volatility of the S&P500 and its sectors. Controlling for additional factors IR, CPI, BAA10Y, EPU and OIL, a positive and significant Covid-19 effect on volatility of returns is detected in all sectors, except for Information Technology. This impact seems stronger in some sectors such as Energy, Materials and Financials. Preceding this, we thoroughly describe the Covid-19 timeline with regards to monetary and fiscal interventions.Pereira, Luís BritesRUNHassdenteufel, Catrin2022-08-16T14:30:12Z2022-01-132021-12-172022-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/143039TID:203039882enginfo: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:RCAAP2024-03-11T05:21:04Zoai:run.unl.pt:10362/143039Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:50:38.655811Repositório 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 covid-19 timeline: returns and volatility movements in different sectors
title The covid-19 timeline: returns and volatility movements in different sectors
spellingShingle The covid-19 timeline: returns and volatility movements in different sectors
Hassdenteufel, Catrin
Covid-19
Volatility
Us stock market
Gics
Garch model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The covid-19 timeline: returns and volatility movements in different sectors
title_full The covid-19 timeline: returns and volatility movements in different sectors
title_fullStr The covid-19 timeline: returns and volatility movements in different sectors
title_full_unstemmed The covid-19 timeline: returns and volatility movements in different sectors
title_sort The covid-19 timeline: returns and volatility movements in different sectors
author Hassdenteufel, Catrin
author_facet Hassdenteufel, Catrin
author_role author
dc.contributor.none.fl_str_mv Pereira, Luís Brites
RUN
dc.contributor.author.fl_str_mv Hassdenteufel, Catrin
dc.subject.por.fl_str_mv Covid-19
Volatility
Us stock market
Gics
Garch model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Covid-19
Volatility
Us stock market
Gics
Garch model
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description As described in the joint work of Adams and Hassdenteufel (2021), to capture stock market volatility amid the Covid-19 pandemic, a GARCH model is appropriate. Here, this is applied by studying the stand-alone Covid-19 impact on volatility of the S&P500 and its sectors. Controlling for additional factors IR, CPI, BAA10Y, EPU and OIL, a positive and significant Covid-19 effect on volatility of returns is detected in all sectors, except for Information Technology. This impact seems stronger in some sectors such as Energy, Materials and Financials. Preceding this, we thoroughly describe the Covid-19 timeline with regards to monetary and fiscal interventions.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-08-16T14:30:12Z
2022-01-13
2022-01-13T00:00:00Z
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/10362/143039
TID:203039882
url http://hdl.handle.net/10362/143039
identifier_str_mv TID:203039882
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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