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Co-movements in sector price indexes during the COVID-19 crisis: Evidence from the US
Journal article   Peer reviewed

Co-movements in sector price indexes during the COVID-19 crisis: Evidence from the US

Hela Nammouri, Souhir Chlibi and Oussama Labidi
Finance Research Letters, Vol.46(A), 102295
01/05/2022
PMID: 35431669

Abstract

COVID-19 Sector index co-movements Healthcare sector index Contagion Vector error correction model
This paper is an examination of co-movements between sector indexes in the United States prior to and during the COVID-19 period. Using daily data between January 2013 and July 2020, this study is the first to examine sectoral cointegration, as well as how contagion occurs from one healthcare sector to others. We find that only five sectors reacted to the shock to the healthcare sector. Our findings can assist policymakers in appropriately responding to the current crisis and tackling potential pandemics in the future. Our findings are also valuable for stockholders in terms of predicting price changes and improving portfolio diversification.

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Collaboration types
International collaboration
Citation topics
6 Social Sciences
6.10 Economics
6.10.80 Market Interdependencies
Web of Science research areas
Business, Finance
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