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Published on: November 10, 2023
COVID-19 news and the US equity market interactions: An inspection through econometric and machine learning lens
Rabin K Jana1, Indranil Ghosh2, Fredj Jawadi3
1Operations & Quantitative Methods Area, Indian Institute of Management Raipur, Atal Nagar, CG 493661 India.
Abstract:
This study investigates the impact of COVID-19 on the US equity market during the first wave of Coronavirus using a wide range of econometric and machine learning approaches. To this end, we use both daily data related to the US equity market sectors and data about the COVID-19 news over January 1, 2020-March 20, 2020. Accordingly, we show that at an early stage of the outbreak, global COVID-19s fears have impacted the US equity market even differently across sectors. Further, we also find that, as the pandemic gradually intensified its footprint in the US, local fears manifested by daily infections emerged more powerfully compared to its global counterpart in impairing the short-term dynamics of US equity markets.
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