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Network Based Evidence of the Financial Impact of Covid-19 Pandemic

Daniel Felix Ahelegbey (), Paola Cerchiello () and Roberta Scaramozzino ()
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Paola Cerchiello: University of Pavia
Roberta Scaramozzino: University of Pavia

No 198, DEM Working Papers Series from University of Pavia, Department of Economics and Management

Abstract: How much the largest worldwide companies, belonging to different sectors of the economy, are suffering from the pandemic? Are economic relations among them changing? In this paper, we address such issues by analysing the top 50 S&P companies by means of market and textual data. Our work proposes a network analysis model that combines such two types of information to highlight the connections among companies with the purpose of investigating the relationships before and during the pandemic crisis. In doing so, we leverage a large amount of textual data through the employment of a sentiment score which is coupled with standard market data. Our results show that the COVID-19 pandemic has largely affected the US productive system, however differently sector by sector and with more impact during the second wave compared to the first.

Keywords: COVID-19 Pandemic; Textual analysis; Financial risk; Network model (search for similar items in EconPapers)
Pages: 24
Date: 2021-02
New Economics Papers: this item is included in nep-net and nep-rmg
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