Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/24683Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Caporale, GM | - |
| dc.contributor.author | Gil-Alana, LA | - |
| dc.contributor.author | Abakah, EJA | - |
| dc.date.accessioned | 2022-06-10T15:29:51Z | - |
| dc.date.available | 2022-06-10T15:29:51Z | - |
| dc.date.issued | 2022-06-26 | - |
| dc.identifier | ORCiD: Guglielmo Maria Caporale https://orcid.org/0000-0002-0144-4135 | - |
| dc.identifier | ORCiD: Luis Alberiko Gil-Alana https://orcid.org/0000-0002-5760-3123 | - |
| dc.identifier.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. | en_US |
| dc.identifier.issn | 0003-6846 | - |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/24683 | - |
| dc.description | JEL Classifications: C22, C32, G15. | - |
| dc.description.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. | - |
| dc.description.sponsorship | The work was supported by the Spanish Ministry of Science and Innovation [PID2020-113691RB-I00]. | - |
| dc.format.extent | 283 - 292 | - |
| dc.format.medium | Print-Electronic | - |
| dc.language.iso | en_US | en_US |
| dc.publisher | Routledge (Taylor & Francis) | en_US |
| dc.rights | Creative Commons Attribution-NonCommercial 4.0 International | - |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc/4.0/ | - |
| dc.subject | Covid-19 pandemic | en_US |
| dc.subject | US sectoral stock indices | en_US |
| dc.subject | fractional integration | en_US |
| dc.subject | persistence | - |
| dc.subject | C22 | - |
| dc.subject | C32 | - |
| dc.subject | G15 | - |
| dc.title | US policy responses to the Covid-19 pandemic and sectoral stock indices: a fractional integration approach | en_US |
| dc.type | Article | en_US |
| dc.date.dateAccepted | 2022-05-29 | - |
| dc.relation.isPartOf | Applied Financial Economics | - |
| pubs.issue | 3 | - |
| pubs.publication-status | Published | - |
| pubs.volume | 55 | - |
| dc.identifier.eissn | 1466-4283 | - |
| dc.rights.license | https://creativecommons.org/licenses/by-nc/4.0/legalcode.en | - |
| dcterms.dateAccepted | 2022-05-29 | - |
| dc.rights.holder | Informa UK Limited | - |
| Appears in Collections: | Department of Economics, Finance and Accounting 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 |
This item is licensed under a Creative Commons License
