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http://bura.brunel.ac.uk/handle/2438/24683| Title: | US policy responses to the Covid-19 pandemic and sectoral stock indices: a fractional integration approach |
| Authors: | Caporale, GM Gil-Alana, LA Abakah, EJA |
| Keywords: | Covid-19 pandemic;US sectoral stock indices;fractional integration;persistence |
| Issue Date: | 26-Jun-2022 |
| Publisher: | Routledge (Taylor & Francis) |
| Citation: | Caporale, G.M., Gil-Alana, L.A. and Abakah, E.J.A. (2022) 'US policy responses to the Covid-19 pandemic and sectoral stock indices: a fractional integration approach', Applied Financial Economics, 55 (3), pp. 283 - 292. doi: 10.1080/00036846.2022.2086686. |
| 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. |
| Description: | JEL Classifications: C22, C32, G15. |
| URI: | https://bura.brunel.ac.uk/handle/2438/24683 |
| ISSN: | 0960-3107 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2022 Informa UK Limited. This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics on 26 Jun 2022, available online: https://www.tandfonline.com/10.1080/00036846.2022.2086686. | 529.49 kB | Adobe PDF | View/Open |
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