Work detail

Analysis of the US stock market during the COVID-19 pandemic

Author: Bc. Adam Tůma
Year: 2021 - summer
Leaders: prof. PhDr. Ladislav Krištoufek Ph.D.
Consultants:
Work type: Bachelors
Language: English
Pages: 65
Awards and prizes:
Link: https://ckis.cuni.cz:443/F/?func=direct&doc_number=002447989&local_base=CKS01&format=999
Abstract: This work investigates the effect of the COVID-19 pandemic on the S&P 500
stock index and its eleven sectors. Employing the ARMA and the T-GARCH
model on a time series of daily returns from 2018 until March 2021, we examine
the impact on volatility, returns, and day-of-the-week effect during the stock
market crash caused by the pandemic and the period after. Our main findings
imply that in the case of returns, the Monday effect was more negative than
the Friday effect during the market crash and vice versa in the rising market
after the crash. Concluding that the calendar time hypothesis holds for the
observed periods. In terms of volatility, it drastically increased across the US
stock market during and even after the crash. The increase was especially
noticeable for the IT and Energy sectors. We also found the U-shaped daily
volume pattern changed significantly with proportionately less volume of trades
happening in the first half-hour of trading and more throughout the whole day.
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