Article citationsMore>>

Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the March 2020 Stock Market Crash. Evidence from S&P1500. Finance Research Letters, 38, Article ID: 101690.
https://doi.org/10.1016/j.frl.2020.101690

has been cited by the following article:

• TITLE: Impact of Economic Uncertainty Related to Stock Market Uncertainty during the COVID-19 Pandemic Epidemic

  AUTHORS: Yue Jin

  KEYWORDS: COVID-19, Economic Policy Uncertainty, Stock Uncertainty, Skewness, EPU (Economic Policy Uncertainty Index), EMU (Equity Market-Related Economic Uncertainty Index), EMI (Equity Market Volatility: Infectious Disease Tracker)

  JOURNAL NAME: Journal of Financial Risk Management, Vol.11 No.4, December 30, 2022

  ABSTRACT: This paper examines the impact of economic uncertainty on the stock market crisis during the COVID-19 epidemic. We construct a GARCH type of model to measure the daily skewness of S&P 500 for the tail risk of the U.S. stock market. We measure economic uncertainty using three indices including the EPU (Economic Policy Uncertainty Index), EMU (Equity Market-related Economic Uncertainty Index), and EMI (Equity Market Volatility: Infectious Disease Tracker). The empirical findings reveal a positive correlation between daily skewness and economic uncertainty and this correlation gets stronger after the outbreak of the COVID-19 pandemic. Our results embrace consistent economic policy schemes for overall stock market stability.