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Publication Detailed Description
The impact of COVID-19 on S&P500 sector indices and FATANG stocks volatility: An expanded APARCH model
Journal Title
Finance Research Letters
Year (definitive publication)
2022
Language
English
Country
United States of America
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Abstract
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).
Acknowledgements
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Keywords
APARCH,Heteroskedasticity,COVID-19,Leverage effect,FATANG,S&P500
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| UIDB/00315/2020 | Fundação para a Ciência e a Tecnologia |
