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What drives US stock markets during the COVID-19 pandemic? A global sensitivity analysis

This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global sens...

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Detalles Bibliográficos
Autor principal: Ahmed, Walid M.A.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9283195/
http://dx.doi.org/10.1016/j.bir.2022.07.001
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author Ahmed, Walid M.A.
author_facet Ahmed, Walid M.A.
author_sort Ahmed, Walid M.A.
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description This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global sensitivity framework capable of handling the problem of model uncertainty. We document that excess market returns, term spread, implied volatility, oil, Twitter-based economic uncertainty, and European and Chinese stock returns are the only variables that are robust to all possible variations in the condition set of information. The results also reveal the irrelevance of newly reported COVID-19 cases and deaths as novel drivers that contribute to the formation stock prices, thus lending support to the “psychophysical numbing” phenomenon.
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spelling pubmed-92831952022-07-15 What drives US stock markets during the COVID-19 pandemic? A global sensitivity analysis Ahmed, Walid M.A. Borsa Istanbul Review Full Length Article This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global sensitivity framework capable of handling the problem of model uncertainty. We document that excess market returns, term spread, implied volatility, oil, Twitter-based economic uncertainty, and European and Chinese stock returns are the only variables that are robust to all possible variations in the condition set of information. The results also reveal the irrelevance of newly reported COVID-19 cases and deaths as novel drivers that contribute to the formation stock prices, thus lending support to the “psychophysical numbing” phenomenon. 2022-09 2022-07-15 /pmc/articles/PMC9283195/ http://dx.doi.org/10.1016/j.bir.2022.07.001 Text en . Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Full Length Article
Ahmed, Walid M.A.
What drives US stock markets during the COVID-19 pandemic? A global sensitivity analysis
title What drives US stock markets during the COVID-19 pandemic? A global sensitivity analysis
title_full What drives US stock markets during the COVID-19 pandemic? A global sensitivity analysis
title_fullStr What drives US stock markets during the COVID-19 pandemic? A global sensitivity analysis
title_full_unstemmed What drives US stock markets during the COVID-19 pandemic? A global sensitivity analysis
title_short What drives US stock markets during the COVID-19 pandemic? A global sensitivity analysis
title_sort what drives us stock markets during the covid-19 pandemic? a global sensitivity analysis
topic Full Length Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9283195/
http://dx.doi.org/10.1016/j.bir.2022.07.001
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