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Senior Fellows/Fellows

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Senior Fellows/Fellows, Pandemic

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May 2020

The Unprecedented Stock Market Reaction to COVID-19

Steven J. DAVIS, Scott R. BAKER, Nicholas A. BLOOM, Kyle KOST, Marco SAMMON, Tasaneeya VIRATYOSIN
No previous infectious disease outbreak, including the Spanish Flu, has affected the stock market as forcefully as the COVID-19 pandemic. In fact, previous pandemics left only mild traces on the U.S. stock market. We use text-based methods to develop these points with respect to large daily stock ma...
Keywords: COVID-19, Pandemic, stock market
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Policy News and Stock Market Volatility

Steven J. DAVIS, Scott R. BAKER, Nicholas A. BLOOM, Kyle KOST
We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the Macroeconomic Outlook, and 44 percent discuss Commodity Markets....
Keywords: stock market, equity returns, volatility, uncertainty, government policy
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