Covid‐19 outbreak and stocks return on the West African Economic and Monetary Union's stock market: An empirical analysis of the relationship through the event study approach

Abstract

This study uses the Wilcoxon's signed ranks test to identify the effect of the Covid‐19 outbreak on the stocks returns of companies listed on the West African Economic and Monetary Union's (WAEMU) stock market by considering two event dates (January 23, 2020 and March 2, 2020). To account for the temporal volatility in the event approach, the study resort to a GARCH model. Empirical findings suggest that January 23, 2020 event (first case of death due to Covid‐19 in China) have had a minor impact on the WAEMU stock market while the event on March 2, 2020 (first case of Covid‐19 in the WAEMU) strongly affected the financial market. This negative impact is much more pronounced for the distribution sectors (−34.16%). Robustness analysis reveals that the main information leading to disruption on the market is the weekly death cases and not the confirmed cases. In addition, government anti‐Covid‐19 measures such as social distancing and governance positively affect the stock return whereas lockdown, public health measures and movement restrictions contribute to a decline in the stock's price.

The Impact of COVID-19 Pandemic on Stock Market: Evidence from Romania

“…Zoungrana et al [10] focused on the stock returns of companies listed on the West African Economic and Monetary Union's stock market (i.e., Benin, Burkina Faso, Ivory Coast, Guinea-Bissau, Mali, Niger, Senegal, and Togo) during the COVID-19 outbreak. Their aim was to examine the effect that governments' anti-COVID-19 measures had on companies generally and on the sectors representing the majority of the listed companies (i.e., industry, finance and distribution).…”

“…The economic effects of the COVID-19 pandemic appeared in every country under the impact of internal profile related to the spread of coronavirus and the measures adopted for its limitations and amplified by the globalisation and interconnectedness of economies. In most countries, stock markets were negatively influenced by the spread of the COVID-19 disease [4][5][6][7], by the implemented movement restriction policies [8][9][10], and by the uncertainties appearing in the global economy [11,12].…”

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

“…Contrariwise, O'Donnell et al (2021) found that the everyday amounts of COVID-19 cases did not explain the index price variations in China, Spain, Italy, the United Kingdom, and the United States. Zoungrana et al (2021) revealed for the West African Economic and Monetary Union's (WAEMU) stock market that weekly validated cases do not influence stock returns, even if the impact of death cases is harmful. However, Brueckner and Vespignani (2021) documented that COVID-19 contaminations had a positive influence on the performance of the Australian equity market.…”

“…Prior papers were focused on volatility examination for African equity markets (Lo et al 2021;Takyi and Bentum-Ennin 2021;Zoungrana et al 2021), the Australian stock market (Brueckner and Vespignani 2021), BRICS and G7 states (Yu et al 2021), Canada and the US (Xu 2021), the Chinese stock market (Chen et al 2021;Liu et al 2021b;Shahzad et al 2021), seven emerging countries (Hashmi et al 2021), euro area stock markets (Duttilo et al 2021), the Indian financial market (Bora and Basistha 2021), the South Korea stock market (Hoshikawa and Yoshimi 2021), Thailand (Hongsakulvasu et al 2020), the Tunisian sectorial stock market (Fakhfekh et al 2021), the US stock market (Curto and Serrasqueiro 2021;Hong et al 2021), Vietnam and Philippines (Le and Tran 2021), Visegrad Group member states (Czech et al 2020), or several international markets (Al-Najjar et al 2021;Al-Qudah and Houcine 2021;Anser et al 2021;Banerjee 2021;Chowdhury et al 2021;Contessi and Pace 2021;Engelhardt et al 2021;Höhler and Lansink 2021;Rouatbi et al 2021;Szczygielski et al 2021b;Topcu and Gulal 2020;Vera-Valdés 2021;Youssef et al 2021;Zhang et al 2020). This paper aims to examine the volatility throughout the Romanian financial market during the COVID-19 pandemic.…”

“…;Ghorbel and Jeribi 2021;Harjoto and Rossi 2021;Haroon and Rizvi 2020;Hongsakulvasu et al 2020;Insaidoo et al 2021;Le and Tran 2021;Liu et al 2021b;Malik et al 2021;Mariana et al 2021; Omane-Adjepong and Alagidede 2021;Szczygielski et al 2021aSzczygielski et al , 2021bUddin et al 2021; Vera-Valdés 2021;Xu 2021;Yousaf 2021;Yousfi et al 2021;Yu et al 2021;Zhang and Hamori 2021;Zoungrana et al 2021). These models simultaneously evaluate and test processes of yields and volatility processes.…”