COVID-19 Effects on the S&P 500 Index

16 Pages Posted: 17 Mar 2020 Last revised: 12 Aug 2020

See all articles by Hakan Yilmazkuday

Hakan Yilmazkuday

Florida International University (FIU) - Department of Economics

Date Written: August 10, 2020

Abstract

This paper investigates the effects of the coronavirus disease 2019 (COVID-19) cases in the U.S. on the S&P 500 Index using daily data covering the period between January 21st, 2020 and August 6th, 2020. The investigation is achieved by using a structural vector autoregression model, where a measure of the global economic activity and the spread between 10-year treasury constant maturity and the federal funds rate are also included. The empirical results suggest that having 1% of an increase in cumulative daily COVID-19 cases in the U.S. results in about 0.01% of a cumulative reduction in the S&P 500 Index after one day and about 0.03% of a reduction after one month. Historical decomposition of the S&P 500 Index further suggests that the negative effects of COVID-19 cases in the U.S. on the S&P 500 Index have been mostly observed during March 2020.

Keywords: COVID-19, S&P 500 Index

JEL Classification: F44, G15, I10

Suggested Citation

Yilmazkuday, Hakan, COVID-19 Effects on the S&P 500 Index (August 10, 2020). Available at SSRN: https://ssrn.com/abstract=3555433 or http://dx.doi.org/10.2139/ssrn.3555433

Hakan Yilmazkuday (Contact Author)

Florida International University (FIU) - Department of Economics ( email )

11200 SW 8th Street
Miami, FL 33199
United States

HOME PAGE: http://faculty.fiu.edu/~hyilmazk/

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