SIADS 591 and 592 project
https://www.aimattcovidproject.page/
2020 has been a tough year with the outbreak of COVID-19. We want to study to what extent the financial market has been impacted by the pandemic. On Nov. 9th 2020 when Pfizer announced the vaccine candidate against COVID-19 achieved a better than expected accuracy rate there was a big impact on the financial market. Previously winning stocks became losing and vice versa. Although the S&P 500 didn’t seem to have a big swing, many portfolios (especially those market-neutral ones) suffered significantly from this rotation.
We are inspired to look at the relationship between the frequency of news mentioning COVID and major stocks’ price movement this year. Additionally, we measure the topic’s influence with data from Google searches. We believe searches on that topic are trending in a way that correlates with the observed irregularities in the stock market over time.
Further, we expect firms operating in different business segments to be impacted by COVID in different ways. For instance, while firms in economic-sensitive sectors (e.g. airlines/cruise line, travel) are significantly hurt from surging COVID cases and lockdown, ‘stay-at-home’ stocks (e.g., firms in the food delivery and video streaming industries) are financial COVID beneficiaries.
The questions we want to answer include:
- How has the importance/dominance of COVID, as reflected through the lens of news coverage and Google searches, changed over time?
- To what extent does the aggregate stock market respond to COVID-related development (e.g., surge in number of news/searches mentioning COVID) and key events (e.g., initial virus outbreak, vaccine progress)?
- What are the common characteristics among stocks impacted most positively/negatively by COVID?