US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach

Guglielmo Maria Caporale; Luis Alberiko Gil-Alana; Emmanuel Joel Aikins Abakah

doi:10.1080/00036846.2022.2086686

US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach

Guglielmo Maria Caporale, Luis Alberiko Gil-Alana, Emmanuel Joel Aikins Abakah

Research output: Contribution to journal › Article › peer-review

5 Citations (Scopus)

Abstract

This paper uses fractional integration to assess the impact of US policy responses to the COVID-19 pandemic on 10 US sectoral stock indices from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion in most cases and suggest that the Effective Federal Funds Rate and monetary and fiscal announcements are the most effective policy tools.

Original language	English
Pages (from-to)	283-292
Number of pages	10
Journal	Applied Economics
Volume	55
Issue number	3
DOIs	https://doi.org/10.1080/00036846.2022.2086686
Publication status	Published - 2023
Externally published	Yes

Keywords

Covid-19 pandemic
US sectoral stock indices
fractional integration
persistence

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10.1080/00036846.2022.2086686

Cite this

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abstract = "This paper uses fractional integration to assess the impact of US policy responses to the COVID-19 pandemic on 10 US sectoral stock indices from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion in most cases and suggest that the Effective Federal Funds Rate and monetary and fiscal announcements are the most effective policy tools.",

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US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach

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Keywords

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