An analysis of COVID-19 impacts on S&P 500 and FinTech index

被引：1
|
作者：
Chan, Calvin [1 ,4 ]
Wang, Han [1 ]
Kong, Ying [1 ]
Lin, Jian Wu [2 ,3 ]
机构：
[1] Tsinghua Univ, Tsinghua Berkeley Shenzhen Inst, Shenzhen, Peoples R China
[2] Beijing Normal Univ, Inst Innovat Management & Econ, Zhuhai, Peoples R China
[3] Tsinghua Univ, Tsinghua Shenzhen Int Grad Sch, Shenzhen 518055, Peoples R China
[4] Guangxi Univ, Sino British Blockchain Ind Res Inst, Nanning 530004, Guangxi, Peoples R China
来源：
INTERNATIONAL JOURNAL OF FINANCIAL ENGINEERING | 2021年 / 8卷 / 02期
关键词：
COVID-19; VIX; S&P 500; FINX; United States;
D O I：
10.1142/S2424786321410036
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
COVID-19 developed into an extremely serious pandemic by the middle of 2020. It has caused enormous negative impacts such as a crush to the global market. In this study, we tested the correlation between COVID-19 and stock market in a more intuitive way with the COVID-19 transmission rate and recovery rate. They were generated by using Unscented Kalman Filter method incorporated with SEIR model. Since the Unscented Kalman Filter method analyzes data at daily intervals, we can study the trend of COVID-19 development and the fund index rate change in detail.
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页数：10
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