Effect of coronavirus fear on the performance of Australian stock returns: Evidence from an event study

Naidu, Dharmendra; Ranjeeni, Kumari

doi:10.1016/j.pacfin.2021.101520

Cited by 37 publications

(25 citation statements)

References 73 publications

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“…Previous studies showed that it is difficult to determine whether blockchain-based currencies are a safe haven during extreme events (Bouri et al, 2020;Conlon & McGee, 2020;Mariana et al, 2020). The present study provides comparative insights to investors, banks, stock market regulators and government authorities on how both blockchain and non-blockchain companies reacted to the extreme event of the COVID-19 pandemic in terms of stock market performance.…”

Section: Discussionmentioning

confidence: 78%

“…Building on the safe-haven assets or stocks that are uncorrelated with a market crash, Mariana et al (2020) argued that bitcoin and ethereum are short-term safehaven alternatives, but with high exhibited volatility. However, other research shows contradictory findings on increased downside risk in terms of value-at-risk and conditional value-at-risk as a result of investing in bitcoin portfolios in a pandemic (Conlon & McGee, 2020).…”

Section: Covid-19 and Stock Price Performance Of Blockchain Companiesmentioning

confidence: 99%

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Effects of the COVID-19 pandemic on stock price performance of blockchain-based companies

Kordestani

Pashkevich

Oghazi

et al. 2021

Economic Research-Ekonomska Istraživanja

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The price of a stock rises or falls in relation to a number of different factors, including changes to the economy brought about by pandemics. A few studies have already identified the effect of the COVID-19 pandemic on the stock market. However, empirical evidence is lacking on changes in stock price performance of blockchain-based companies as a result of the COVID-19 pandemic. We use the event study approach to estimate stock expected returns by applying an asset pricing model over a thirty-day event window around the announcement on March 11, 2020 by the World Health Organization (WHO) regarding the outbreak of the coronavirus (COVID-19) as a global pandemic, using a sample of S&P Global 1200 companies. Overall, our results indicate more sensitivity in blockchain-based companies' stock prices to the COVID-19 pandemic compared to those of non-blockchain-based companies. Cumulative abnormal returns show that the stock price of blockchain-based companies recover losses slower than nonblockchain companies. Our findings are important for investors and shareholders for future pandemics and events.

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Section: Discussionmentioning

confidence: 78%

Section: Covid-19 and Stock Price Performance Of Blockchain Companiesmentioning

confidence: 99%

Effects of the COVID-19 pandemic on stock price performance of blockchain-based companies

Kordestani

Pashkevich

Oghazi

et al. 2021

Economic Research-Ekonomska Istraživanja

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“…Selain itu, pandemi covid-19 merupakan sebuah fenomena yang menyebabkan kejutan (shock) di pasar keuangan dan dampak yang dihasilkan dari fenomena ini bersifat masif dan bahkan berdampak pada hampir seluruh sektor industri di seluruh dunia. Berdasarkan penelitian terkini yang dilakukan oleh Naidu & Ranjeeni (2021) dalam papernya menyebutkan bahwa pandemi covid-19 telah secara nyata mempengaruhi secara negatif persentase return pada 12 sektor industri yang ada di Australia dan metode yang digunakan oleh mereka adalah studi peristiwa (event study). He, Sun, Zhang, & Li (2020)juga meneliti terkait dampak pandemi covid-19 terhadap beberapa sektor industri di Republik Rakyat Tiongkok dan menemukan bahwa covid-19 berdampak negatif pada sektor transportasi, pertambangan, elektronik, dan lingkungan.…”

Section: Kajian Teori Dan Hipotesisunclassified

“…Peneliti menduga ada dua penjelasan logis yang mungkin dapat menjelaskan temuan ini yaitu 1) pasar masih optimis bahwa pengumuman kasus penularan virus covid-19 ini belum memberikan dampak yang signifikan terhadap industri dan perekonomian di Indonesia atau 2) pasar memang terlambat merespon kasus penularan virus ini karena pasar masih mengambil posisi wait & see untuk melihat situasi perekonomian dalam beberapa hari kedepan. Untuk mengkonfirmasi dugaan ini, peneliti menggunakan telaah yang lebih komprehensif lagi dengan menggunakan metode yang digunakan oleh Naidu & Ranjeeni (2021) terutama menggunakan indikator rata-rata abnormal return kumulatif (lihat Panel B pada Tabel 2). Setelah melaksanakan metode tersebut, peneliti menemukan bahwa selama periodeperiode sekitar peristiwa pasar (t-1, t-10; t-1, t0; t0, t-…”

Section: Pengujian Hipotesisunclassified

Apakah pengumuman resmi kasus pertama Covid-19 oleh Presiden Joko Widodo memiliki kandungan informasi? Event study pada saham-saham LQ-45

Ary¹

2021

E-BISMA

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This study analyzes the phenomenon of the first case of Covid-19 transmission in Indonesia and its impact on the capital market in Indonesia. This study aims to test whether there is a negative PCAD pattern after the first announcement of the covid-19 virus transmission case on the Indonesian capital market and to prove that the Indonesian capital market experienced a significant decline in returns after the first announcement period of the covid-19 virus transmission. Stocks that are included as LQ45 stocks are being utilized and event study is the method to analyze the market response during the window period (t-10, t+10) and uses the independent sample t-test to compare the average abnormal return. mean (AAR) and mean cumulative abnormal return (CAAR). The results of this study indicate that the market takes a wait & see strategy, PCAD shows the form of a negative sign after the event and there is a difference between AAR and CAAR 10-days before and 10-days after the event. Overall, this research shows that the market has responded negatively to information related to the Covid-19 virus.

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“…As for the Australian stock market, Narayan et al (2021) revealed that COVID-19 has had a heterogeneous impact on the market sectors, with similar results evident in Alam et al's (2020) event study. The same methodology was applied by Naidu and Ranjeeni (2021) and Rahman et al (2021), who quantified the impact of negative (the declaration of the pandemic) and positive (government's policy responses) events on the Australian local market. Finally, a study by Espinosa-Méndez and Arias (2020) demonstrated that the COVID-19 pandemic increased herding behaviour in the Australian stock market.…”

Section: Introductionmentioning

confidence: 99%

Australian market response to COVID-19 as moderated by social media

Maia

Tommasetti

Macedo

2021

PAR

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Purpose Emerging as a black swan event that stifled the global economy, COVID-19 is the first social media (SM) pandemic. In an unsocial age due to social distancing, SM relevance is intuitively magnified during a pandemic. This study aims to investigate the direct and moderating impact of Twitter on the Australian stock market during the COVID-19 info-pandemic. Design/methodology/approach As a natural experiment, a time-series regression measures the effect of the COVID-19 virus, proxied by the active cases and the marginal impact of SM user attention and sentiment on the Australian stock market. Findings Results show that SM user attention and sentiment to COVID-19 related fear topics are significant in explaining market returns and in predicting their volatility. It demonstrates that SM plays a role between COVID-19 and Australian stock market performance by amplifying the pandemic impact. Originality The study goes beyond a purely empirical investigation of the catalyst (i.e. the pandemic), thus contributing to current theoretical debates on the impact of SM on investor behaviour. Practical implications Policymakers and market participants could benefit from the empirical findings of this research in the case of analogous epidemics.

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Effect of coronavirus fear on the performance of Australian stock returns: Evidence from an event study

Cited by 37 publications

References 73 publications

Effects of the COVID-19 pandemic on stock price performance of blockchain-based companies

Effects of the COVID-19 pandemic on stock price performance of blockchain-based companies

Apakah pengumuman resmi kasus pertama Covid-19 oleh Presiden Joko Widodo memiliki kandungan informasi? Event study pada saham-saham LQ-45

Australian market response to COVID-19 as moderated by social media

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