COVID-19 Effects on the S&P 500 Index
Applied Economics Letters, Forthcoming
16 Pages Posted: 17 Mar 2020 Last revised: 28 Aug 2021
Date Written: August 14, 2021
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 10th, 2021. 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 week. 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: Coronavirus; COVID-19; S&P 500 Index; Baltic Dry Index
JEL Classification: F44, G15, I10
Suggested Citation: Suggested Citation