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Title: Financial market analogies of the COVID-19 pandemic: evidence from the Dow Jones Industrial Average Index
Authors: Andrada Félix, Julián 
Fernández Rodríguez, Fernando 
Sosvilla Rivero,Simón Javier 
UNESCO Clasification: 530204 Estadística económica
Keywords: Analogies
Covid-19 Pandemic
Financial Crisis
Stock Markets
Issue Date: 2022
Journal: Applied Economics Letters 
Abstract: This article tries to shed light on the historical analogies of the ongoing COVID-19 pandemic. To that end, we compare the sample distribution of Dow Jones Industrial Average Index returns for a 420-day period (from 2 January 2020 to 31 August 2021), with all historical sample distributions of returns computed using a moving window of 420 days in the 2 January 1900 to 1 May 2018 period. We find that the stock market return distribution during the pandemic would be similar to several past sub-periods of severe financial crises that evolved into intense recessions, being the sub-sample from 3 June 1986 to 28 January 1988 the most analogous episode to the present situation. Furthermore, we also identify a period from 23 June 1931 to 24 February 1933 where the severity of the crisis overcomes the pandemic situation having sharper tail events. Finally, we find that the current stock market CVaR risk is not higher than that observed during the 1930s.
ISSN: 1350-4851
DOI: 10.1080/13504851.2022.2097172
Source: Applied Economics Letters[ISSN 1350-4851], (Enero 2022)
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