{"title":"通过主成分分析衡量美国市场各部门的系统性风险:在COVID-19大流行之前和期间","authors":"Jaime González Maiz Jiménez, Adán Reyes Santiago","doi":"10.5772/intechopen.101860","DOIUrl":null,"url":null,"abstract":"This research measures the systematic risk of 10 sectors in the American Stock Market, discerning the COVID-19 pandemic period. The novelty of this study is the use of the Principal Component Analysis (PCA) technique to measure the systematic risk of each sector, selecting five stocks per sector with the greatest market capitalization. The results show that the sectors that have the greatest increase in exposure to systematic risk during the pandemic are restaurants, clothing, and insurance, whereas the sectors that show the greatest decrease in terms of exposure to systematic risk are automakers and tobacco. Due to the results of this study, it seems advisable for practitioners to select stocks that belong to either the automakers or tobacco sector to get protection from health crises, such as COVID-19.","PeriodicalId":266713,"journal":{"name":"Psychosocial, Educational, and Economic Impacts of COVID-19 [Working Title]","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2022-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Measuring the Systematic Risk of Sectors within the US Market Via Principal Components Analysis: Before and during the COVID-19 Pandemic\",\"authors\":\"Jaime González Maiz Jiménez, Adán Reyes Santiago\",\"doi\":\"10.5772/intechopen.101860\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This research measures the systematic risk of 10 sectors in the American Stock Market, discerning the COVID-19 pandemic period. The novelty of this study is the use of the Principal Component Analysis (PCA) technique to measure the systematic risk of each sector, selecting five stocks per sector with the greatest market capitalization. The results show that the sectors that have the greatest increase in exposure to systematic risk during the pandemic are restaurants, clothing, and insurance, whereas the sectors that show the greatest decrease in terms of exposure to systematic risk are automakers and tobacco. Due to the results of this study, it seems advisable for practitioners to select stocks that belong to either the automakers or tobacco sector to get protection from health crises, such as COVID-19.\",\"PeriodicalId\":266713,\"journal\":{\"name\":\"Psychosocial, Educational, and Economic Impacts of COVID-19 [Working Title]\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-01-07\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Psychosocial, Educational, and Economic Impacts of COVID-19 [Working Title]\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.5772/intechopen.101860\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Psychosocial, Educational, and Economic Impacts of COVID-19 [Working Title]","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.5772/intechopen.101860","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Measuring the Systematic Risk of Sectors within the US Market Via Principal Components Analysis: Before and during the COVID-19 Pandemic
This research measures the systematic risk of 10 sectors in the American Stock Market, discerning the COVID-19 pandemic period. The novelty of this study is the use of the Principal Component Analysis (PCA) technique to measure the systematic risk of each sector, selecting five stocks per sector with the greatest market capitalization. The results show that the sectors that have the greatest increase in exposure to systematic risk during the pandemic are restaurants, clothing, and insurance, whereas the sectors that show the greatest decrease in terms of exposure to systematic risk are automakers and tobacco. Due to the results of this study, it seems advisable for practitioners to select stocks that belong to either the automakers or tobacco sector to get protection from health crises, such as COVID-19.