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

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



Michael F. Kane



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


Project Designation

Independent Research

Primary Advisor

Tony S. Caporale, Robert D. Dean

Primary Advisor's Department

Economics and Finance


Stander Symposium project, School of Business Administration

United Nations Sustainable Development Goals

Quality Education

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