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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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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
2022
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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. |
collection | PubMed |
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. |
format | Online Article Text |
id | pubmed-9283195 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
record_format | MEDLINE/PubMed |
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 |
work_keys_str_mv | AT ahmedwalidma whatdrivesusstockmarketsduringthecovid19pandemicaglobalsensitivityanalysis |