Co-movements in sector price indexes during the COVID-19 crisis: Evidence from the US

被引：5

作者：

Nammouri, Hela ^{[1
]}

Chlibi, Souhir ^{[2
,3
]}

Labidi, Oussama ^{[1
]}

机构：

[1] UCLyon, ESDES Business Sch, 10 Pl Archives, F-69002 Lyon, France

[2] Univ Lille, RIME Lab, Lille, Tunisia

[3] Univ Gabes, URRED, Gabes, Tunisia

来源：

FINANCE RESEARCH LETTERS | 2022年 / 46卷

关键词：

COVID-19; Sector index co-movements; Contagion; Vector error correction model; healthcare; sector index; HEALTH; GROWTH; UK;

D O I：

10.1016/j.frl.2021.102295

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper is an examination of co-movements between sector indexes in the United States prior to and during the COVID-19 period. Using daily data between January 2013 and July 2020, this study is the first to examine sectoral cointegration, as well as how contagion occurs from one healthcare sector to others. We find that only five sectors reacted to the shock to the healthcare sector. Our findings can assist policymakers in appropriately responding to the current crisis and tackling potential pandemics in the future. Our findings are also valuable for stockholders in terms of predicting price changes and improving portfolio diversification.

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页数：11

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