2021
DOI: 10.1186/s40854-021-00228-2
|View full text |Cite
|
Sign up to set email alerts
|

Impact of the COVID-19 outbreak on the US equity sectors: Evidence from quantile return spillovers

Abstract: The aim of this study is to examine the extreme return spillovers among the US stock market sectors in the light of the COVID-19 outbreak. To this end, we extend the now-traditional Diebold-Yilmaz spillover index to the quantiles domain by building networks of generalized forecast error variance decomposition of a quantile vector autoregressive model specifically for extreme returns. Notably, we control for common movements by using the overall stock market index as a common factor for all sectors and uncover … Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
2
1
1
1

Citation Types

11
49
1

Year Published

2021
2021
2024
2024

Publication Types

Select...
8
1

Relationship

2
7

Authors

Journals

citations
Cited by 92 publications
(61 citation statements)
references
References 58 publications
11
49
1
Order By: Relevance
“…Instead, previous studies (e.g., Rababah et al, 2020) apply an event study to uncover the effect of the COVID-19 outbreak on stock sector returns in China. Shahzad et al (2021aShahzad et al ( , 2021b indicate evidence of heterogeneity in the pandemic effect on the performance of the American and Chinese equity sectors and their relationships. Secondly, our current study addresses a research gap that involves the context of New Zealand and considers the heterogeneity of the industry stock returns.…”
Section: Governmental Policies In Response To Covid-19 and Stock Returnsmentioning
confidence: 99%
“…Instead, previous studies (e.g., Rababah et al, 2020) apply an event study to uncover the effect of the COVID-19 outbreak on stock sector returns in China. Shahzad et al (2021aShahzad et al ( , 2021b indicate evidence of heterogeneity in the pandemic effect on the performance of the American and Chinese equity sectors and their relationships. Secondly, our current study addresses a research gap that involves the context of New Zealand and considers the heterogeneity of the industry stock returns.…”
Section: Governmental Policies In Response To Covid-19 and Stock Returnsmentioning
confidence: 99%
“…The COVID-19 outbreak has adversely affected firms' solvency (Mirza et al 2020), US stock markets (Shahzad et al 2021), and other financial markets (Bouri et al 2020). This can be true to the Asian stock markets that are globally and regionally integrated (e.g., Mohti et al (2019) and are closely linked with China due to the higher bilateral trade volume and foreign direct investment of China in Asian markets.…”
Section: Gold and Financial Markets During The Covid-19 Outbreakmentioning
confidence: 99%
“…With the abrupt emergence of the COVID-19 outbreak in early 2020, the global economy froze, unemployment rates climbed, and financial markets tumbled (Yousaf and Ali 2020aShahzad et al 2021). Such issues first affected China and other Asian stock markets and then the rest of the stock markets around the globe.…”
Section: Introductionmentioning
confidence: 99%
“…For instance, Dow Jones Industrial average plunged 7.79% on March 9, 2020 and lost 9.9% again on March 12, 2020, a worst drop in the history of the US. The circuit breakers of S&P 500 triggered four times in March 2020 due to unprecedented heavy losses to equity investors ( Shahzad et al, 2021a , Shahzad et al, 2021b ). In addition, the global average impact of COVID-19 on economies has been estimated to be a 4.4% decline in global GDP growth.…”
Section: Introductionmentioning
confidence: 99%