Table A.1.
Covariance & correlation matrices.
| S&P 500 | Wilshire 5k | NASDAQ | Dow Jones | |||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Covariance | Full | Cases | −7.10 | (−3.24) | −7.57 | (−3.41) | −5.84 | (−2.49) | −7.31 | (−3.15) |
| Deaths |
1.05 |
(0.43) |
0.62 |
(0.25) |
1.84 |
(0.72) |
1.43 |
(0.56) |
||
| Wave 1 | Cases | −22.63 | (−1.9) | −24.13 | (−2.01) | −19.25 | (−1.64) | −23.14 | (−1.81) | |
| Deaths |
5.74 |
(0.43) |
4.41 |
(0.33) |
7.57 |
(0.58) |
7.35 |
(0.51) |
||
| Wave 2 | Cases | 0.29 | (1.77) | 0.22 | (1.43) | 0.24 | (1.57) | 0.32 | (1.62) | |
| Deaths |
0.11 |
(2.41) |
0.09 |
(2.09) |
0.10 |
(2.34) |
0.12 |
(2.08) |
||
| Wave 3 | Cases | 0.06 | (0.61) | 0.06 | (0.97) | 0.04 | (0.57) | 0.06 | (0.82) | |
| Deaths | 0.04 | (0.82) | 0.01 | (0.47) | 0.02 | (0.52) | 0.03 | (0.77) | ||
| Correlation | Full | Cases | −0.18 | (−3.24) | −0.19 | (−3.41) | −0.14 | (−2.49) | −0.18 | (−3.15) |
| Deaths |
0.02 |
(0.43) |
0.01 |
(0.25) |
0.04 |
(0.72) |
0.03 |
(0.56) |
||
| Wave-1 | Cases | −0.20 | (−1.9) | −0.21 | (−2.01) | −0.17 | (−1.64) | −0.19 | (−1.81) | |
| Deaths |
0.05 |
(0.43) |
0.03 |
(0.33) |
0.06 |
(0.58) |
0.05 |
(0.51) |
||
| Wave-2 | Cases | 0.23 | (1.77) | 0.18 | (1.43) | 0.20 | (1.57) | 0.21 | (1.62) | |
| Deaths |
0.30 |
(2.41) |
0.26 |
(2.09) |
0.29 |
(2.34) |
0.26 |
(2.08) |
||
| Wave-3 | Cases | 0.05 | (0.61) | 0.08 | (0.97) | 0.04 | (0.57) | 0.06 | (0.82) | |
| Deaths | 0.06 | (0.82) | 0.04 | (0.47) | 0.04 | (0.52) | 0.06 | (0.77) | ||
1Standard errors in parentheses.
2Author’s calculations - Source: Thompson Reuters.