| Sudden public health events not only cause public panic,but also feedback each other,thus forming a short-term and continuous impact on the social economy.The outbreak and spread of COVID-19 events have a great impact on the US stock market.In view of this,this paper uses all the stock data of the S & P 500 index to explore the impact of COVID-19 on American stock market according to the research idea of ’COVID-19 event response to the stock market-the herding effect of investor sentiment and investor sentiment on the stock market under COVID-19-the path and policy effect of abnormal stock market volatility ’.First of all,this study uses the event analysis method(ESM)to estimate the excess return(AR)of all component stocks in the S & P 500 index and analyze it.It is concluded that the COVID-19 event has a significantly negative impact on the U.S.stock market.Based on the comparison of the results of previous researchers ’ studies on SAS and new corona pneumonia on Asian stock markets,it is found that the U.S.stock market is more affected by the COVID-19 event.Secondly,this study introduces the U.S.panic index(MFI)with COVID-19 effect to quantify investor sentiment,and uses the panel vector autoregressive model(PVAR)to analyze the impulse response function graph.Through this graph,it is found that the COVID-19 event can stimulate investor sentiment,which leads to stock price fluctuations,and is negative fluctuations.Then,in order to further determine whether the COVID-19 event affects investors ’decision-making and herd behavior,this study uses mean regression,quantile regression and neural network quantile regression methods to test the herding effect of the U.S.stock market during the COVID-19 event.It is concluded that there is an obvious herding effect in the U.S.stock market under the background of the epidemic,and there are differences at different quantiles.Finally,through the empirical analysis of the impact path of the COVID-19 event on the stock market,this study finds that the panic index VIX plays a mediating role,and the popular unemployment assistance and interbank lending rates of banks moderate the relationship between VIX and AR.This study can provide some help for policy makers to grasp the fluctuation mechanism of stock market during public health emergencies and make timely response measures. |
