COVID-19 Effects on the S&P 500 Index

Abstract

This paper investigates the effects of the global coronavirus disease 2019 (COVID-19) deaths on the S&P 500 Index using daily data covering the period between December 31st, 2019 and March 12th, 2020. The investigation is achieved by using a structural vector autoregression model, where a measure of the global economic activity and the spread between 10-year treasury constant maturity and the federal funds rate are also included. The empirical results suggest that having one more global COVID-19 death results in 0.02% of a cumulative reduction in the S&P 500 index after one day, 0.06% of a cumulative reduction after one week, and 0.08% of a reduction after one month.