Infectious diseases tracking and sectoral stock market returns: A quantile regression analysis
نویسندگان
چکیده
• The relationship is negative (positive) at lower (higher) return quantiles. all quantiles when the healthcare sector used. varies, becoming stronger COVID-19 taken into consideration. This paper investigates between changes in newspaper-based infectious diseases tracking index (ITI) of Baker et al. (2020) and sectoral stock market returns US. Our results spanning period 1985:01 to 2020:03 reveal presence a ITI (representing different conditions) majority sectors. For health care sector, this Interestingly, inclusion sample data leads detection for smaller across An asymmetric witnessed conditions Consumer Staples, Healthcare, Industrial Technology Results from rolling regression uncover differences magnitudes responses various over time. carry important implications regarding investment strategies US news relating diseases.
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ژورنال
عنوان ژورنال: The North American Journal of Economics and Finance
سال: 2022
ISSN: ['1062-9408', '1879-0860']
DOI: https://doi.org/10.1016/j.najef.2021.101584