Financial market analogies of the COVID-19 pandemic: evidence from the Dow Jones Industrial Average Index
Julián Andrada-Félix,
Fernando Fernández-Rodríguez and
Simon Sosvilla-Rivero
Applied Economics Letters, 2023, vol. 30, issue 17, 2364-2369
Abstract:
This article tries to shed light on the historical analogies of the ongoing COVID-19 pandemic. To that end, we compare the sample distribution of Dow Jones Industrial Average Index returns for a 420-day period (from 2 January 2020 to 31 August 2021), with all historical sample distributions of returns computed using a moving window of 420 days in the 2 January 1900 to 1 May 2018 period. We find that the stock market return distribution during the pandemic would be similar to several past sub-periods of severe financial crises that evolved into intense recessions, being the sub-sample from 3 June 1986 to 28 January 1988 the most analogous episode to the present situation. Furthermore, we also identify a period from 23 June 1931 to 24 February 1933 where the severity of the crisis overcomes the pandemic situation having sharper tail events. Finally, we find that the current stock market CVaR risk is not higher than that observed during the 1930s.
Date: 2023
References: Add references at CitEc
Citations:
Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2022.2097172 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:30:y:2023:i:17:p:2364-2369
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20
DOI: 10.1080/13504851.2022.2097172
Access Statistics for this article
Applied Economics Letters is currently edited by Anita Phillips
More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().