Covid-19's effect on the alpha and beta of a US stock Exchange Traded Fund

被引：4
|
作者：
Cao, Kang Hua [1 ]
Woo, Chi-Keung [2 ]
Li, Ya [3 ]
Liu, Yun [4 ]
机构：
[1] Hong Kong Baptist Univ, Dept Econ, Hong Kong, Peoples R China
[2] Educ Univ Hong Kong, Dept Asian & Policy Studies, Tai Po, Peoples R China
[3] Open Univ Hong Kong, Lee Shau Kee Sch Business & Adm, Hong Kong, Peoples R China
[4] Hong Kong Polytech Univ, Sch Accounting & Finance, Hong Kong, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2022年 / 29卷 / 02期
关键词：
Covid-19; CAPM; stock ETFs; J-test; GMM estimation;
D O I：
10.1080/13504851.2020.1859447
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper is a first look of Covid-19's effect on the alpha and beta of a US stock exchange traded fund. It uses the efficient market hypothesis and the J-test of non-nested hypotheses to identify a reasonable choice of Covid-19 data for estimating CAPM regressions. Obtained through the generalized method of moments in a panel data analysis, a reasonable choice is Covid-19 spread's unanticipated severity. Rising unanticipated severity significantly reduces the alphas and betas of mid-cap and small-cap ETFs but not large-cap and sector & speciality ETFs. Hence, retail investors should not market time or panic liquidate, especially when successful vaccination development is likely in the near future.
引用
收藏
页码：123 / 128
页数：6
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