{"title":"Market Reactions to COVID-19: Does Systemic Risk Vary Across Industries? A Markov-Switching CAPM Approach","authors":"Emre Bulut, Cumali Marangoz, M. Daştan","doi":"10.1080/00128775.2023.2173234","DOIUrl":null,"url":null,"abstract":"ABSTRACT Despite a broad consensus on the response of US stock market volatility to the coronavirus outbreak, our micro-level understanding of its variation across industries still needs to be improved. This study contributes to the existing literature by providing an industry-level analysis of the COVID-19 pandemic with two different states. Evidence from the MS-CAPM model indicates the role of portfolio diversification. Specifically, the results reveal that some industries, such as materials, real estate, communication, and utilities, have much higher expected returns. On the other hand, other sectors, including consumer discretionary, industrials, and information technology, become less volatile than the market during the lockdown period.","PeriodicalId":45883,"journal":{"name":"Eastern European Economics","volume":" ","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2023-02-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Eastern European Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/00128775.2023.2173234","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
ABSTRACT Despite a broad consensus on the response of US stock market volatility to the coronavirus outbreak, our micro-level understanding of its variation across industries still needs to be improved. This study contributes to the existing literature by providing an industry-level analysis of the COVID-19 pandemic with two different states. Evidence from the MS-CAPM model indicates the role of portfolio diversification. Specifically, the results reveal that some industries, such as materials, real estate, communication, and utilities, have much higher expected returns. On the other hand, other sectors, including consumer discretionary, industrials, and information technology, become less volatile than the market during the lockdown period.
期刊介绍：
Eastern European Economics publishes original research on the newly emerging economies of Central and Eastern Europe, with coverage of the ongoing processes of transition to market economics in different countries, their integration into the broader European and global economies, and the ramifications of the 2008-9 financial crisis. An introduction by the journal"s editor adds context and expert insights on the articles presented in each issue.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
