Network Based Evidence of the Financial Impact of COVID-19 Pandemic

24 Pages Posted: 9 Feb 2021

See all articles by Daniel Felix Ahelegbey

Daniel Felix Ahelegbey

University of Pavia, Department of Economics and Management; Boston University, Department of Mathematics & Statistics

Paola Cerchiello

University of Pavia - Department of Economics and Management Science

Roberta Scaramozzino

affiliation not provided to SSRN

Date Written: February 7, 2021

Abstract

How much the largest worldwide companies, belonging to different sectors of the economy, are suffering from the pandemic? Are economic relations among them changing? In this paper, we address such issues by analysing the top 50 S\&P companies by means of market and textual data. Our work proposes a network analysis model that combines such two types of information to highlight the connections among companies with the purpose of investigating the relationships before and during the pandemic crisis. In doing so, we leverage a large amount of textual data through the employment of a sentiment score which is coupled with standard market data. Our results show that the COVID-19 pandemic has largely affected the US productive system, however differently sector by sector and with more impact during the second wave compared to the first.

Keywords: COVID-19 Pandemic, Textual analysis, Financial risk, Network model, Bayesian inference

JEL Classification: C11, C52, C55, C58, G01, G12

Suggested Citation

Ahelegbey, Daniel Felix and Cerchiello, Paola and Scaramozzino, Roberta, Network Based Evidence of the Financial Impact of COVID-19 Pandemic (February 7, 2021). Available at SSRN: https://ssrn.com/abstract=3780954 or http://dx.doi.org/10.2139/ssrn.3780954

Daniel Felix Ahelegbey

University of Pavia, Department of Economics and Management ( email )

Via San Felice 7
Pavia, Lombardia 27100
Italy
+393888931128 (Phone)

HOME PAGE: http://sites.google.com/site/danielfelixahey/home

Boston University, Department of Mathematics & Statistics ( email )

111 Cummington Mall
Boston, MA 02215
United States

Paola Cerchiello

University of Pavia - Department of Economics and Management Science ( email )

Strada Nuova, 65
Pavia, 27100
Italy

Roberta Scaramozzino (Contact Author)

affiliation not provided to SSRN

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