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Activity Number:
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387
- Software
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Type:
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Contributed
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Date/Time:
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Thursday, August 12, 2021 : 12:00 PM to 1:50 PM
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Sponsor:
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Section on Statistical Computing
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Abstract #318717
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Title:
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Price Behavior of Individual S&P Stocks in the Crash of 2020
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Author(s):
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James A Shine* and James E Gentle
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Companies:
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US Army Corps of Engineers (retired) and George Mason University (retired)
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Keywords:
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financial time series;
stock prices;
variable correlation;
Covid effects;
correlation tests
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Abstract:
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The start of the Covid-19 pandemic in early 2020 was accompanied by an unprecedented steep decline in stock prices. Not only were there declines in prices in all sectors, but the daily returns of stocks in all sectors became much more highly correlated. We investigate these correlations between the daily returns of various sectors and of individual stocks in the S&P 500 Index. Comparisons of daily returns during the Covid market crash and during the previous year (2019) show much higher correlations between returns of different sectors and of different individual stocks during the Covid crash. We also explore issues in developing simultaneous statistical tests of correlations between multiple pairs of variables.
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Authors who are presenting talks have a * after their name.
