Bull and Bear Markets During the COVID-19 Pandemic

John Maheu, Thomas McCurdy and Yong Song

Papers from arXiv.org

Abstract: The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. Using the model of Maheu, McCurdy and Song (2012), we provide smoothed estimates and out-of-sample forecasts associated with stock market dynamics during the pandemic. We identify bull and bear market regimes including their bull correction and bear rally components, demonstrate the model's performance in capturing periods of significant regime change, and provide forecasts that improve risk management and investment decisions. The paper concludes with out-of-sample forecasts of market states one year ahead.

Date: 2020-12
New Economics Papers: this item is included in nep-mon
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http://arxiv.org/pdf/2012.01623 Latest version (application/pdf)

Related works:
Journal Article: Bull and bear markets during the COVID-19 pandemic (2021)
Working Paper: Bull and Bear Markets During the COVID-19 Pandemic (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2012.01623

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