About: 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.   Goto Sponge  NotDistinct  Permalink

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  • 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.
subject
  • Epidemics
  • Biological hazards
  • Technology companies based in the San Francisco Bay Area
  • Multinational companies headquartered in the United States
  • Eyewear companies of the United States
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