Co-movements in sector price indexes during the COVID-19 crisis: Evidence from the US

Hela Nammouri (), Souhir Chlibi and Oussama Labidi ()
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Hela Nammouri: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)
Oussama Labidi: UR CONFLUENCE : Sciences et Humanités (EA 1598) - UCLy - UCLy (Lyon Catholic University), ESDES - ESDES, Lyon Business School - UCLy - UCLy - UCLy (Lyon Catholic University)

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Abstract: This paper is an examination of co-movements between sector indexes in the United States prior to and during the COVID-19 period. Using daily data between January 2013 and July 2020, this study is the first to examine sectoral cointegration, as well as how contagion occurs from one healthcare sector to others. We find that only five sectors reacted to the shock to the healthcare sector. Our findings can assist policymakers in appropriately responding to the current crisis and tackling potential pandemics in the future. Our findings are also valuable for stockholders in terms of predicting price changes and improving portfolio diversification.

Keywords: COVID-19; Sector index co-movements; Contagion; Vector error correction model; healthcare sector index (search for similar items in EconPapers)
Date: 2022-05
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Published in Finance Research Letters, 2022, 46/A, pp.102295. ⟨10.1016/j.frl.2021.102295⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05249009

DOI: 10.1016/j.frl.2021.102295

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