Empirical Examination on the Drivers of the U.S. Equity Returns in the During the COVID-19 Crisis

Qing Wang; Mo Bai; Mai Huang

doi:10.3389/fpubh.2021.679475

Frontiers in Public Health (May 2021)

Empirical Examination on the Drivers of the U.S. Equity Returns in the During the COVID-19 Crisis

Qing Wang,
Mo Bai,
Mai Huang

Affiliations

Qing Wang: Department of Finance, Economics and Management School, Wuhan University, Wuhan, China
Mo Bai: School of Accounting, Tianjin University of Commerce, Tianjin, China
Mai Huang: Institute of International Economy, University of International Business and Economics, Beijing, China

DOI: https://doi.org/10.3389/fpubh.2021.679475
Journal volume & issue: Vol. 9

Abstract

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This study investigates the drivers of the Standard & Poor's (S&P) 500 equity returns during the COVID-19 crisis era. The paper considers various determinants of the equity returns from December 31, 2019, to February 19, 2021. It is observed that the United States Dollar (USD) and the volatility indices (VIX) negatively affect the S&P 500 equity returns. However, the newspaper-based infectious disease “equity market volatility tracker” is positively associated with the stock market returns. These results are robust to consider both the ordinary least squares (OLS) and the least angle regression (LARS) estimators.

Published in Frontiers in Public Health

ISSN: 2296-2565 (Online)
Publisher: Frontiers Media S.A.
Country of publisher: Switzerland
LCC subjects: Medicine: Public aspects of medicine
Website: https://www.frontiersin.org/journals/public-health

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