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Article overview
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Quantifying the impact of Covid-19 on stock market: An analysis from multi-source information | | Asim Kumer Dey
; Toufiqul Haq
; Kumer Das
; Yulia R. Gel
; | | Date: |
25 Aug 2020 | | Abstract: | We investigate the impact of Covid-19 cases and deaths, local spread spreads
of Covid-19, and Google search activities on the US stock market. We develop a
temporal complex network to quantify US county level spread dynamics of
Covid-19. We conduct the analysis by using the following sequence of methods:
Spearman’s rank correlation, Granger causality, Random Forest (RF) model, and
EGARCH (1,1) model. The results suggest that Covid-19 cases and deaths, its
local spread spreads, and Google searches have impacts on the abnormal stock
price between January 2020 to May 2020. However, although a few of Covid-19
variables, e.g., US total deaths and US new cases exhibit causal relationship
on price volatility, EGARCH model suggests that Covid-19 cases and deaths,
local spread spreads of Covid-19, and Google search activities do not have
impacts on price volatility. | | Source: | arXiv, 2008.10885 | | Services: | Forum | Review | PDF | Favorites | |
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