Economic Policy Uncertainty and Sectoral Trading Volume in the U.S. Stock Market: Evidence from the COVID-19 Crisis

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Abstract

We empirically analyze the impact of economic uncertainty due to the COVID-19 pandemic on the trading volume of each sector in the S&P 500 index. Wavelet coherence analysis is carried out using economic policy uncertainty data and the trading volume of each sector in the S&P 500 index from July 2004 to September 2020. Furthermore, we apply multifractal detrended fluctuation (MF-DFA) analysis to the trading volume series of all sectors. The wavelet coherence analysis shows that the COVID-19 pandemic has substantially influenced trading volume in all sectors. However, the impact of the pandemic is different from that during the global financial crisis in some sectors, such as information technology, consumer discretionary, and communication services. Because of the lockdown taken to suppress COVID-19, increased remote working and remote learning are the main reasons for these results. Additionally, according to the MF-DFA analysis, the trading volume of all the sectors has clear multifractal characteristics, and they are all nonpersistent. Specifically, trading volumes of the real estate and materials sector are highly correlated, whereas the trading volumes of industry and information technology sectors are comparatively less correlated.

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Nowcasting and forecasting the potential domestic and international spread of the 2019-nCoV outbreak originating in Wuhan, China: a modelling study

Joseph Wu, Kathy Leung, Gabriel Leung (2020)

Summary Background Since Dec 31, 2019, the Chinese city of Wuhan has reported an outbreak of atypical pneumonia caused by the 2019 novel coronavirus (2019-nCoV). Cases have been exported to other Chinese cities, as well as internationally, threatening to trigger a global outbreak. Here, we provide an estimate of the size of the epidemic in Wuhan on the basis of the number of cases exported from Wuhan to cities outside mainland China and forecast the extent of the domestic and global public health risks of epidemics, accounting for social and non-pharmaceutical prevention interventions. Methods We used data from Dec 31, 2019, to Jan 28, 2020, on the number of cases exported from Wuhan internationally (known days of symptom onset from Dec 25, 2019, to Jan 19, 2020) to infer the number of infections in Wuhan from Dec 1, 2019, to Jan 25, 2020. Cases exported domestically were then estimated. We forecasted the national and global spread of 2019-nCoV, accounting for the effect of the metropolitan-wide quarantine of Wuhan and surrounding cities, which began Jan 23–24, 2020. We used data on monthly flight bookings from the Official Aviation Guide and data on human mobility across more than 300 prefecture-level cities in mainland China from the Tencent database. Data on confirmed cases were obtained from the reports published by the Chinese Center for Disease Control and Prevention. Serial interval estimates were based on previous studies of severe acute respiratory syndrome coronavirus (SARS-CoV). A susceptible-exposed-infectious-recovered metapopulation model was used to simulate the epidemics across all major cities in China. The basic reproductive number was estimated using Markov Chain Monte Carlo methods and presented using the resulting posterior mean and 95% credibile interval (CrI). Findings In our baseline scenario, we estimated that the basic reproductive number for 2019-nCoV was 2·68 (95% CrI 2·47–2·86) and that 75 815 individuals (95% CrI 37 304–130 330) have been infected in Wuhan as of Jan 25, 2020. The epidemic doubling time was 6·4 days (95% CrI 5·8–7·1). We estimated that in the baseline scenario, Chongqing, Beijing, Shanghai, Guangzhou, and Shenzhen had imported 461 (95% CrI 227–805), 113 (57–193), 98 (49–168), 111 (56–191), and 80 (40–139) infections from Wuhan, respectively. If the transmissibility of 2019-nCoV were similar everywhere domestically and over time, we inferred that epidemics are already growing exponentially in multiple major cities of China with a lag time behind the Wuhan outbreak of about 1–2 weeks. Interpretation Given that 2019-nCoV is no longer contained within Wuhan, other major Chinese cities are probably sustaining localised outbreaks. Large cities overseas with close transport links to China could also become outbreak epicentres, unless substantial public health interventions at both the population and personal levels are implemented immediately. Independent self-sustaining outbreaks in major cities globally could become inevitable because of substantial exportation of presymptomatic cases and in the absence of large-scale public health interventions. Preparedness plans and mitigation interventions should be readied for quick deployment globally. Funding Health and Medical Research Fund (Hong Kong, China).

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Measuring Economic Policy Uncertainty

Scott R. Baker, Nicholas Bloom, Steven Davis (2016)

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An investigation of transmission control measures during the first 50 days of the COVID-19 epidemic in China

Huaiyu Tian, Yonghong Liu, Yidan Li … (2020)

Responding to an outbreak of a novel coronavirus (agent of COVID-19) in December 2019, China banned travel to and from Wuhan city on 23 January and implemented a national emergency response. We investigated the spread and control of COVID-19 using a unique data set including case reports, human movement and public health interventions. The Wuhan shutdown was associated with the delayed arrival of COVID-19 in other cities by 2.91 days (95%CI: 2.54-3.29). Cities that implemented control measures pre-emptively reported fewer cases, on average, in the first week of their outbreaks (13.0; 7.1-18.8) compared with cities that started control later (20.6; 14.5-26.8). Suspending intra-city public transport, closing entertainment venues and banning public gatherings were associated with reductions in case incidence. The national emergency response appears to have delayed the growth and limited the size of the COVID-19 epidemic in China, averting hundreds of thousands of cases by 19 February (day 50).

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Author and article information

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Sun-Yong Choi: (View ORCID Profile)

Journal

Title: Complexity

Abbreviated Title: Complexity

Publisher: Hindawi Limited

ISSN (Electronic): 1099-0526

ISSN (Print): 1076-2787

Publication date Created: April 25 2022

Publication date (Print): April 25 2022

Volume: 2022

Pages: 1-15

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[1 ]Department of Financial Mathematics, Gachon University, Gyeonggi 13120, Republic of Korea

Article

DOI: 10.1155/2022/2248731

SO-VID: 7a9b6b09-c597-4887-899e-ea44d70bfa94

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https://creativecommons.org/licenses/by/4.0/

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Economic Policy Uncertainty and Sectoral Trading Volume in the U.S. Stock Market: Evidence from the COVID-19 Crisis

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Most cited references 103

Nowcasting and forecasting the potential domestic and international spread of the 2019-nCoV outbreak originating in Wuhan, China: a modelling study

Measuring Economic Policy Uncertainty

An investigation of transmission control measures during the first 50 days of the COVID-19 epidemic in China

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