论文标题
关于Covid-19期间美国股票市场横断面回报分散和波动性的研究
A Research on Cross-sectional Return Dispersion and Volatility of US Stock Market during COVID-19
论文作者
论文摘要
我们研究了COVID-19-19的流行病，研究了标准普尔卫生保健部门的波动性和横截面回报分散效应。我们创新使用Google指数来代表流行病的影响并建立了波动率。我们还研究了标准普尔能源部门和标准普尔卫生保健部门的原木返回的影响因素。我们发现，流行病和横截面返回分散剂都显着影响波动，并且它们面前的系数都是积极的，这意味着牛群行为不存在，并且随着横截面回报分散体的增加，并且流行病变得更加严重，股票回报的波动性也增加了。我们还发现，流行病对能源部门的回归产生了重大负面影响，最后我们向投资者提供了建议。
We studied the volatility and cross-sectional return dispersion effect of S&P Health Care Sector under the covid-19 epidemic. We innovatively used the Google index to proxy the impact of the epidemic and modeled the volatility. We also studied the influencing factors of the log-return of S&P Energy Sector and S&P Health Care Sector. We found that volatility is significantly affected by both the epidemic and cross-sectional return dispersion, and the coefficients in front of them are all positive, which means that the herding behaviour did not exist and as the cross-sectional return dispersion increases and the epidemic becomes more severe, the volatility of stock returns is also increasing. We also found that the epidemic has a significant negative impact on the return of the energy sector, and finally we provided our suggestions to investors.
