Abstract:

This paper is a study of the changes in the importance of selected market time series for determination of the performances of European equity index caused by COVID-19 pandemic. Equity assets are not the only asset class on the market and their prices interact with other instruments. As a comparable environment the selected commodities prices, foreign exchange quotations and bond yields were chosen and their influence on Stoxx 600 performance was investigated. The problem of measuring the impact of the input variables on the dependent one can be approached in several way, however the permutation importance was chosen as it is universal for linear and non-linear models. The importance of the inputs varies over time and depends on the model. In this paper the three models were chosen: linear regression, elastic net as regularized regression and random forest as non-linear ensembled model. The results show the increased relationship between equity market and commodity prices after COVID-19 shock, however the general feature importance varies among the models.