Semantic Scholar Open Access 2020 407 sitasi

COVID-19 and stock market volatility: An industry level analysis

Seungho Baek Sunil K. Mohanty Mina Glambosky

Lihat Sumber DOI

Abstrak

Highlights • This paper analyzes the effects of COVID-19 on the U.S. stock market volatility at the industry level.• The market switching AR model is used to identify regime change from lower volatility to higher volatility.• Petroleum and natural gas, restaurants, hotels and lodgings industries exhibit large increases in risk.• Machine learning (ML) feature selection methods are used to identify influential economic indicators.• Changes in the volatility are found to be more sensitive to COVID-19 news than economic indicators.

Topik & Kata Kunci

Economics Medicine

Penulis (3)

Seungho Baek

Sunil K. Mohanty

Mina Glambosky

Format Sitasi

APA MLA BibTeX

Baek, S., Mohanty, S.K., Glambosky, M. (2020). COVID-19 and stock market volatility: An industry level analysis. https://doi.org/10.1016/j.frl.2020.101748

Akses Cepat

Lihat di Sumber doi.org/10.1016/j.frl.2020.101748

Informasi Jurnal

Tahun Terbit: 2020
Bahasa: en
Total Sitasi: 407×
Sumber Database: Semantic Scholar
DOI: 10.1016/j.frl.2020.101748
Akses: Open Access ✓