COVID-19, Volatility and S&P 500 Sector Returns

COVID-19, Volatility and S&P 500 Sector Returns

    Presenter(s)

    Michael F. Kane

    Description

    In this study I look at the relationship between stock market volatility (measured by the VIX) and 5 S&P Sector ETF's over the early stages of the COVID-19 pandemic in the United States. The 5 SPDR sectors are Consumer Discretionary (XLY), Consumer Staples (XLP), Industrials (XLI), Healthcare (XLV), and Information Technology (XLK). I use uni-variate regression analysis to specify the linear relationship between the sector price indexes (Y) and VIX (X). Both a down swing (from mid February to late March) and an upswing (from late March to mid summer) periods are modeled. I test the following hypotheses: (1) There is an inverse relationship between sector price indexes and the VIX, (2) During the down swing period, the growth sectors XLY and XLK showed the sharpest declines in their price indexes and (3) during the upswing period the growth sectors, XLY and XLK showed the largest increases in their price indexes.

    Publication Date

    4-22-2021

    Project Designation

    Independent Research

    Primary Advisor

    Tony S. Caporale, Robert D. Dean

    Primary Advisor's Department

    Economics and Finance

    Keywords

    Stander Symposium project, School of Business Administration

    United Nations Sustainable Development Goals

    Quality Education

    COVID-19, Volatility and S&P 500 Sector Returns

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