Table 4.
The Markov switching model: the influence of COVID-19 confirmed cases and deaths on the S&P500 index returns.
| SPX vs Cases |
SPX vs Deaths |
|||||
|---|---|---|---|---|---|---|
| Parameter | Estimate | Std. Error | p-value | Estimate | Std. Error | p-value |
| Δlog(CHN) | −0.0029 | 0.0095 | 0.756 | −0.0015 | 0.0082 | 0.851 |
| Δlog(USA) | −0.0145 | 0.0103 | 0.163 | 0.0269 | 0.0292 | 0.359 |
| Δlog(ITA) | −0.0166 | 0.0102 | 0.105 | −0.0435 | 0.0202 | 0.034 |
| Δlog(ESP) | −0.0108 | 0.0188 | 0.565 | −0.0108 | 0.0192 | 0.576 |
| Δlog(FRA) | −0.0312 | 0.0233 | 0.185 | −0.0499 | 0.0281 | 0.079 |
| Δlog(DEU) | 0.0022 | 0.0093 | 0.815 | 0.0054 | 0.0237 | 0.818 |
| Δlog(CHE) | −0.0324 | 0.0210 | 0.125 | −0.0705 | 0.0332 | 0.036 |
| Δlog(GBR) | −0.0115 | 0.0086 | 0.187 | 0.0147 | 0.0343 | 0.670 |
| Δlog(RUS) | 0.0033 | 0.0262 | 0.901 | 0.0222 | 0.0242 | 0.361 |
| Δlog(SWE) | −0.0140 | 0.0280 | 0.616 | −0.0263 | 0.0275 | 0.342 |
| Δlog(BEL) | 0.0130 | 0.0139 | 0.354 | −0.0262 | 0.0222 | 0.240 |
| Δlog(NLD) | −0.0184 | 0.0280 | 0.511 | −0.0736 | 0.0298 | 0.015 |