US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach

C-Tier
Journal: Applied Economics
Year: 2023
Volume: 55
Issue: 3
Pages: 283-292

Authors (3)

Guglielmo Maria Caporale (Brunel University London) Luis Alberiko Gil-Alana (Universidad de Navarra) Emmanuel Joel Aikins Abakah (University of Ghana)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

This paper uses fractional integration to assess the impact of US policy responses to the COVID-19 pandemic on 10 US sectoral stock indices from 1 January 2020 to 11 June 2021. The results provide evidence of mean reversion in most cases and suggest that the Effective Federal Funds Rate and monetary and fiscal announcements are the most effective policy tools.

Technical Details

RePEc Handle
repec:taf:applec:v:55:y:2023:i:3:p:283-292
Journal Field
General
Author Count
3
Added to Database
2026-01-24