An analysis of COVID-19 impacts on S&P 500 and FinTech index

Calvin Chan, Han Wang (), Ying Kong () and Jian Wu Lin
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Calvin Chan: Tsinghua-Berkeley Shenzhen Institute Tsinghua University, Shenzhen, P. R. China§Sino-British Blockchain Industry Research Institute, Guangxi University, 530004 Guangxi, P. R. China
Han Wang: Tsinghua-Berkeley Shenzhen Institute Tsinghua University, Shenzhen, P. R. China
Ying Kong: Tsinghua-Berkeley Shenzhen Institute Tsinghua University, Shenzhen, P. R. China
Jian Wu Lin: #x2020;Institute of Innovation Management and Economics, Beijing Normal University, Zhuhai, P. R. China‡Tsinghua Shenzhen International Graduate School, Tsinghua University, 518055 Shenzhen, P. R. China

International Journal of Financial Engineering (IJFE), 2021, vol. 08, issue 02, 1-10

Abstract: COVID-19 developed into an extremely serious pandemic by the middle of 2020. It has caused enormous negative impacts such as a crush to the global market. In this study, we tested the correlation between COVID-19 and stock market in a more intuitive way with the COVID-19 transmission rate and recovery rate. They were generated by using Unscented Kalman Filter method incorporated with SEIR model. Since the Unscented Kalman Filter method analyzes data at daily intervals, we can study the trend of COVID-19 development and the fund index rate change in detail.

Keywords: COVID-19; VIX; S&P 500; FINX; United States (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1142/S2424786321410036

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