English
Ciência-IUL
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Descrição Detalhada da Publicação
The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model
Título Revista
Finance Research Letters
Ano (publicação definitiva)
2022
Língua
Inglês
País
Estados Unidos da América
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Abstract/Resumo
In this paper we hypothesize that not all stocks and sectors are affected equally by COVID-19 in terms of return volatility. Specifically, we hypothesize that at least some sectors (Information Technology, Consumer Discretionary, Telecom Services, Consumer Staples and Energy) must show statistically significant differences. We analyze eleven SP500 sectors and FATANG stocks, estimating an Asymmetric Power GARCH model including a dummy variable to account for the outbreak. Results reveal an exacerbation of volatility after February 2020 and validate our hypothesis with few exceptions. Based on a likelihood ratio test, the null hypothesis is rejected in most cases in favor of our APARCH(1, 1).
Agradecimentos/Acknowledgements
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Palavras-chave
APARCH,Heteroskedasticity,COVID-19,Leverage effect,FATANG,S&P500
Classificação Fields of Science and Technology
- Economia e Gestão - Ciências Sociais
Registos de financiamentos
| Referência de financiamento | Entidade Financiadora |
|---|---|
| UIDB/00315/2020 | Fundação para a Ciência e a Tecnologia |
