US policy responses to the COVID-19 pandemic and sectoral stock indices: A fractional integration approach

Abstract

This paper uses fractional integration to assess the impact of US policy responses to COVID-19 pandemic on 10 US sectoral stock indices from 1 January 1, 2020, to 11, 2021. The results provide evidence of mean reversion in most cases and suggest that the Effective Federal Funds Rate and monetary and fiscal announcements are the most effective policy tools.