As the 2019 novel coronavirus disease(COVID-19)pandemic rages globally,its impact has been felt in the stock markets around the world.Amidst the gloomy economic outlook,certain sectors seem to have survived better tha...As the 2019 novel coronavirus disease(COVID-19)pandemic rages globally,its impact has been felt in the stock markets around the world.Amidst the gloomy economic outlook,certain sectors seem to have survived better than others.This paper aims to investigate the sectors that have performed better even as market sentiment is affected by the pandemic.The daily closing stock prices of a total usable sample of 1,567 firms from 37 sectors are first an a lyzed using a combination of hierarchical clustering and shape-based distance(SBD)measures.Market sentiment is modeled from Google trends on the COVID-19 pandemic.This is then analyzed against the time series of daily closing stock prices using augmented vector autoregression(VAR).The empirical results indicate that market sentiment towards the pandemic has significant effects on the stock prices of the sectors.Particularly,the stock price performance across sectors is differentiated by the level of the digital transformation of sectors,with those that are most digitally transformed,showing resili ence towards negative market sentime nt on the pandemic.This study contributes to the existing literature by incorporating search trends to an a lyze market sentiment,and by showing that digital transformation moderated the stock market resilience of firms against concern over the COVID-19 outbreak.展开更多
文摘As the 2019 novel coronavirus disease(COVID-19)pandemic rages globally,its impact has been felt in the stock markets around the world.Amidst the gloomy economic outlook,certain sectors seem to have survived better than others.This paper aims to investigate the sectors that have performed better even as market sentiment is affected by the pandemic.The daily closing stock prices of a total usable sample of 1,567 firms from 37 sectors are first an a lyzed using a combination of hierarchical clustering and shape-based distance(SBD)measures.Market sentiment is modeled from Google trends on the COVID-19 pandemic.This is then analyzed against the time series of daily closing stock prices using augmented vector autoregression(VAR).The empirical results indicate that market sentiment towards the pandemic has significant effects on the stock prices of the sectors.Particularly,the stock price performance across sectors is differentiated by the level of the digital transformation of sectors,with those that are most digitally transformed,showing resili ence towards negative market sentime nt on the pandemic.This study contributes to the existing literature by incorporating search trends to an a lyze market sentiment,and by showing that digital transformation moderated the stock market resilience of firms against concern over the COVID-19 outbreak.
