COVID–19’s Impact on Stock Returns - An Event Study Based on the Pakistan Indices

Khan, Nasir; Elahi, Farhan; Ullah, Hamid; Khattak, Afraseyab

doi:10.2139/ssrn.3725322

Cited by 6 publications

(7 citation statements)

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“…The significance of AAR and CAAR, signifying negative or positive impacts, is assessed using t-tests at a 5% significance level. Consistent with the approach outlined by He, Sun, Zhang, and Li (2020) and Khan et al (2020), this study calculates the 61-day average AAR and CAAR, covering 30 days before the event (t-30), the event day (t0), and 30 days after the event (t30). The choice of a relatively short event window aligns with recommendations by Brown and Warner (1980) to optimize statistical performance and results.…”

Section: Resultsmentioning

confidence: 99%

“…In this section, we outline the empirical models used to estimate the average abnormal return (AAR) and cumulative average abnormal return (CAAR) for our research, drawing on previous work by Khan, Elahi, Ullah, and Khattak (2020) as our foundation. The primary objective of this section is to detail the methodology and equations employed in calculating these critical financial performance measures.…”

Section: Empirical Models Estimationmentioning

confidence: 99%

“…The primary objective of this section is to detail the methodology and equations employed in calculating these critical financial performance measures. Event Window and Abnormal Return Calculation: To calculate the AAR and CAAR, we employ a 61-day event window, consistent with the methodology utilized by Khan et al (2020). Within this context, the abnormal return (AR) is defined as the difference between the actual return (R) and the expected return (E), which is calculated using the Capital Asset Pricing Model (CAPM) single-factor model.…”

Section: Empirical Models Estimationmentioning

confidence: 99%

See 2 more Smart Citations

Economic Shockwaves: Examining Stock Market Behavior in Pakistan Amidst the COVID-19 Pandemic

Jaleel Iltaf,

Riaz Ahmed,

Ayyoub

2023

ASSAP

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The COVID-19 pandemic sent shockwaves through global economies, particularly affecting capital markets and stock price returns across major indices. This study examines the response of various industries listed on the Pakistan Stock Exchange (PSX) to the initial COVID-19 lockdown implemented on March 23, 2020. The research evaluates stock market reactions within a 61-day event window, with a focus on Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR). The study encompasses nine diverse industries and employs regression analysis to compute alpha and beta coefficients. Notably, the findings reveal short-lived negative impacts across industries, followed by swift recoveries, indicative of the stock market's resilience in Pakistan. Descriptive statistics highlight sector-specific characteristics, while regression results emphasize low stock return volatility. The study underscores the role of government interventions and investor confidence in mitigating the pandemic's economic impact, providing valuable insights for investors, policymakers, and researchers. This research contributes to our understanding of stock market dynamics during crises, particularly in emerging economies.

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Section: Resultsmentioning

confidence: 99%

Section: Empirical Models Estimationmentioning

confidence: 99%

Section: Empirical Models Estimationmentioning

confidence: 99%

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Economic Shockwaves: Examining Stock Market Behavior in Pakistan Amidst the COVID-19 Pandemic

Jaleel Iltaf,

Riaz Ahmed,

Ayyoub

2023

ASSAP

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“…The KSE-100 index, the KSE-30 index, and the KMI-30 index are three Pakistani indices that were the subject of a study conducted (Khan et al, 2020). The study used an event analysis approach to examine how the outbreak affected individual firm stock returns.…”

Section: Impact Of National Culture On Stock Return and Volatilitymentioning

confidence: 99%

Impact of National Culture on Stock Markets’ Returns and Volatility: Evidence from BRICS-P

Khan,

Shabbir

2024

JBR

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This study aims to investigate how national cultures affect stock market returns across the BRICS economies and Pakistan. The conceptual framework is how national cultures affect stock return and volatility with six dimensions (PDI, UAI, MAS, LTO, IDV, and IVR) and two control variables, the exchange rate and interest rate. The data samples are extracted from Six BRICS’P nations, including Brazil, Russia, India, China, South Africa, and Pakistan for the period from January 1, 2011, through December 31, 2021. Regression analysis using panel data was utilized in this study to examine the effects of the major factors both individually and collectively. The results of panel data analysis indicate that National culture has little effect on returns from all six countries. Furthermore, only MAS has a negative substantial impact on return in the national culture dimension. Volatility is adversely affected by national culture. National cultures affect stock market volatility and returns globally, but because it analyses long-term data and Hofstede’s culture modifies the data over the years.

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“…Dengan abnormal return dapat dikatakan bahwa suatu pengumuman peristiwa yang mempunyai kandungan informasi akan memberikan abnormal return kepada pasar, namun jika pengumuman tersebut tidak mengandung informasi maka tidak ada abnormal return yang terjadi di pasar. Sejalan dengan penelitian (Xiong et al, 2020), (Khan et al, 2020), (Göker et al, 2020) dampak pandemi covid-19 memiliki tingkat pengembalian abnormal kumulatif (CAR) yang jauh lebih rendah atau berdampak negatif di sekitar wabah pada saham indeks.…”

Section: Pendahuluanunclassified

Reaksi Pasar Terhadap Penerapan Kebijakan Pembatasan Sosial Berskala Besar Tahap I Perusahaan Sektor Kesehatan BEI

Maharani

Putra

2022

E-Jurnal Akuntansi

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This study aims to prove the information content of the implementation of the Phase I PSBB policy in Indonesia, which caused a market reaction as indicated by the abnormal return in the health sector on the Indonesia Stock Exchange. The observation period is carried out for 11 working days on the Indonesia Stock Exchange. This research is a type of event study research which is used to measure market efficiency and the impact of an event. The method of determining the sample in this research is non-probability sampling method and the sampling technique is using purposive sampling technique with a total sample of 17 companies. The results of the one sample t-Test test showed that the market had a significant positive reaction to the event that the implementation of the PSBB policy phase I on health sector companies on the Indonesia Stock Exchange was rejected, which means the market did not react to the event. Keywords: PSBB; Market Reaction; Event Study; Abnormal Return.

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COVID–19’s Impact on Stock Returns - An Event Study Based on the Pakistan Indices

Cited by 6 publications

References 0 publications

Economic Shockwaves: Examining Stock Market Behavior in Pakistan Amidst the COVID-19 Pandemic

Economic Shockwaves: Examining Stock Market Behavior in Pakistan Amidst the COVID-19 Pandemic

Impact of National Culture on Stock Markets’ Returns and Volatility: Evidence from BRICS-P

Reaksi Pasar Terhadap Penerapan Kebijakan Pembatasan Sosial Berskala Besar Tahap I Perusahaan Sektor Kesehatan BEI

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