Explain the US Stock Market’s Evolution during the COVID-19 Pandemic: Using SVIX Index
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Description
I exploit Martin’s (2016) proxy of the equity premium to examine the reasons behind the US stock market evolution during the COVID-19 pandemic. Based on Knox and Vissing-Jorgensen’s (2021) decomposition of unexpected stock returns, I present that changes in the short-term equity premium can explain 58%–65% of the stock market evolution. I further construct an index (CARS) to reveal households’ concerns about coronavirus using Google search as in Da et al. (2014). Results show that a standard...[Show more]
Collections | Open Access Theses |
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Date published: | 2021 |
Type: | Thesis (Honours) |
URI: | http://hdl.handle.net/1885/255116 |
DOI: | 10.25911/TACG-1A41 |
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Thesis - SiyingLi.pdf | 1.77 MB | Adobe PDF |
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