ETDs @PUC-Rio
| Título: | DOES THE STOCK MARKET REFLECT THE LONG-RUN EFFECTS OF COVID-19? | ||||||||||||
| Autor: |
RAFAEL PEREIRA ALVES |
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| Colaborador(es): |
WALTER NOVAES FILHO - Orientador |
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| Catalogação: | 28/JUN/2022 | Língua(s): | ENGLISH - UNITED STATES |
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| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=59788&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=59788&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.59788 | ||||||||||||
| Resumo: | |||||||||||||
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The existing literature on the effects of Covid on stock returns focuses
on endogenous changes in risk tolerance and on the modeling of rare events.
So far, these attempts have not been able to match the data. In this paper,
I propose an alternative approach to explaining the Covid effects on stock
returns worldwide: disentangling the long-run effects from the short-run effects.
Intuitively, Covid s long-run effects include disruptions of supply chains and
educational patterns, which, conceivably, will take time to phase out. Exactly
as it happens with the persistent shocks of long-run risks models! A model
that allows for short-run fluctuations and long-run risk shows that persistent
shocks play a role in explaining stock market returns and exchange rates in a
time span that starts in January 2018 and ends in November 2021.
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