Market reactions to COVID-19: does systemic risk vary across industries? a Markov-switching CAPM approach

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buir.contributor.authorBulut, Emre
buir.contributor.orcidBulut, Emre|0000-0002-1468-2175
dc.citation.epage88en_US
dc.citation.issueNumber1
dc.citation.spage69
dc.citation.volumeNumber62
dc.contributor.authorBulut, Emre
dc.contributor.authorMarangoz, C.
dc.contributor.authorDaştan, M.
dc.date.accessioned2024-03-14T07:59:11Z
dc.date.available2024-03-14T07:59:11Z
dc.date.issued2023-02-13
dc.departmentDepartment of Economics
dc.description.abstractDespite a broad consensus on the response of US stock market vola-tility to the coronavirus outbreak, our micro-level understanding of its variation across industries still needs to be improved. This study contributes to the existing literature by providing an industry-level analy-sis of the COVID-19 pandemic with two different states. Evidence from the MS-CAPM model indicates the role of portfolio diversification. Specifically, the results reveal that some industries, such as materials, real estate, communication, and utilities, have much higher expected returns. On the other hand, other sectors, including consumer discre-tionary, industrials, and information technology, become less volatile than the market during the lockdown period.
dc.identifier.doi10.1080/00128775.2023.2173234
dc.identifier.eissn1557-9298
dc.identifier.issn0012-8775
dc.identifier.urihttps://hdl.handle.net/11693/114723
dc.language.isoen
dc.publisherRoutledge
dc.relation.isversionofhttps://doi.org/10.1080/00128775.2023.2173234
dc.rightsCC BY-NC-ND (Attribution-NonCommercial-NoDerivs 4.0 International)
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.source.titleEastern European Economics
dc.subjectCOVID-19
dc.subjectStock market volatility
dc.subjectThe MS-CAPM
dc.titleMarket reactions to COVID-19: does systemic risk vary across industries? a Markov-switching CAPM approach
dc.typeArticle

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