Network based evidence of the financial impact of Covid-19 pandemic

Daniel Felix Ahelegbey; Paola Cerchiello; Roberta Scaramozzino

doi:10.1016/j.irfa.2022.102101

Network based evidence of the financial impact of Covid-19 pandemic

Int Rev Financ Anal. 2022 May:81:102101. doi: 10.1016/j.irfa.2022.102101. Epub 2022 Mar 21.

Authors

Daniel Felix Ahelegbey¹, Paola Cerchiello¹, Roberta Scaramozzino¹

Affiliation

¹ Department of Economics and Management, University of Pavia, Via San Felice 7, 27100 Pavia, Italy.

Abstract

How much the largest worldwide companies, belonging to different sectors of the economy, are suffering from the pandemic? Are economic relations among them changing? In this paper, we address such issues by analyzing the top 50 S&P companies by means of market and textual data. Our work proposes a network analysis model that combines such two types of information to highlight the connections among companies with the purpose of investigating the relationships before and during the pandemic crisis. In doing so, we leverage a large amount of textual data through the employment of a sentiment score which is coupled with standard market data. Our results show that the COVID-19 pandemic has largely affected the US productive system, however differently sector by sector and with more impact during the second wave compared to the first.

Keywords: Big data analytics; COVID-19 pandemic; Financial risk; Network model; Textual analysis.