Market reactions to the arrival and containment of COVID-19: An event study

Heyden, Kim J.; Heyden, Thomas

doi:10.1016/j.frl.2020.101745

Cited by 211 publications

(171 citation statements)

References 32 publications

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“…Another associated category of research that assesses government action's influence on the stock market includes (Ashraf, 2020;Baig et al, 2021;Gao et al, 2021;Heyden & Heyden, 2020;Narayan et al, 2021). Ashraf (2020) describes that the government announcements of social distancing have a negative effect on stock market returns due to their adverse effect on economic activity, while an indirect positive effect through the reduction in COVID-19 confirmed cases using data across 77 countries.…”

Section: Pandemic and Financial Marketsmentioning

confidence: 99%

“…Ashraf (2020) describes that the government announcements of social distancing have a negative effect on stock market returns due to their adverse effect on economic activity, while an indirect positive effect through the reduction in COVID-19 confirmed cases using data across 77 countries. Heyden and Heyden (2020) study the short-term market reactions of U.S. and European stocks at the beginning of the COVID-19 pandemic. Authors conclude that stock returns respond negatively to the declarations of the country-specific fiscal policy measures, whereas market calm in response to the monetary policy measures.…”

Section: Pandemic and Financial Marketsmentioning

confidence: 99%

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The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

Zhang

2021

Economic Research-Ekonomska Istraživanja

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This study examines the volatility of China and the most advanced countries of the world stock markets due to the pandemic of COVID-19 using the TGARCH model. This research study presents empirical support for the TGARCH specification for explaining the daily time dependence in the rate of information arrival to the market for stocks traded on China stock market. Using the sample containing closing stock market returns from 05 January 2015 to 04 April 2020 of sample countries, we found that through the COVID-19, there is no significant impact of returns volatility coming from advanced countries towards the China stock market. Further, results state that China has a significant impact on explaining the volatility of the most advanced countries of the world (Switzerland, Sweden, Netherlands, and the UK) except the U.S.A. during COVID-19. We found no significant impact of China stock market returns on the U.S.A.'s volatility, but there is a presence of leverage effect during COVID À19.

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Section: Pandemic and Financial Marketsmentioning

confidence: 99%

Section: Pandemic and Financial Marketsmentioning

confidence: 99%

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

Zhang

2021

Economic Research-Ekonomska Istraživanja

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“…Mazur et al ( 9 ) explored the stock market performances in the United States during the pandemic and found that the stock prices in natural gas, food, healthcare, and software industries showed an upward trend, while the stock prices in oil, real estate, entertainment, and hotel industries showed the opposite. Heyden and Heyden ( 10 ) studied the short-term reaction in stock markets of the United States and Europe at the early stage of the pandemic. Their results showed that fiscal measures had a negative impact on stock returns, while monetary policy had a stabilizing effect on the market.…”

Section: Introductionmentioning

confidence: 99%

An Empirical Study on the Equity Performance of China's Health Insurance Companies During the COVID-19 Pandemic—Based on Cases of Dominant Listed Companies

Xie

et al. 2021

Front. Public Health

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The health insurance industry in China is undergoing great shocks and profound impacts induced by the worldwide COVID-19 pandemic. Taking for instance the three dominant listed companies, namely, China Life Insurance, Ping An Insurance, and Pacific Insurance, this paper investigates the equity performances of China's health insurance companies during the pandemic. We firstly construct a stock price forecasting methodology using the autoregressive integrated moving average, back propagation neural network, and long short-term memory (LSTM) neural network models. We then empirically study the stock price performances of the three listed companies and find out that the LSTM model does better than the other two based on the criteria of mean absolute error and mean square error. Finally, the above-mentioned models are used to predict the stock price performances of the three companies.

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“…Although the analysis is provided from the macro aspect, i.e., national stock market indices are observed, a first glance will be given in the reactions of the CESEE markets. However, such markets are characterized by less liquid stocks [40], which could be exploited in studies such as [41] where 867 companies were included in the study. The main purpose of this study was to evaluate the magnitude of the negative effects of COVID-19 on selected CESEE markets and to obtain information about trading possibilities based on the results.…”

Section: Introductionmentioning

confidence: 99%

Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

Škrinjarić

2021

Mathematics

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This research deals with stock market reactions of Central Eastern and South Eastern European (CESEE) markets to the COVID-19 pandemic, via the event study methodology approach. Since the stock markets react quickly to certain announcements, the used methodology is appropriate to evaluate how the aforementioned markets reacted to certain events. The purpose of this research was to evaluate possibilities of obtaining profits on the stock markets during great turbulences, when a majority of the participants panic. More specifically, the contrarian trading strategies are observed if they can obtain gains, although a majority of the markets suffer great losses during pandemic shocks. The contributions to the existing literature of this research are as follows. Firstly, empirical research on CESEE stock markets regarding other relevant topics is still scarce and should be explored more. Secondly, the event study approach of COVID-19 effects utilized in this study has (to the knowledge of the author) not yet been explored on the aforementioned markets. Thirdly, based on the results of CESEE market reactions to specific announcements regarding COVID-19, a simulation of simple trading strategies will be made in order to estimate whether some investors could have profited in certain periods. The results of the study indicate promising results in terms of exploiting other investors’ panicking during the greatest decline of stock market indices. Namely, the initial results, as expected, indicate strong negative effects of specific COVID-19 announcements on the selected stock markets. Secondly, the obtained information was shown to be useful for contrarian strategy in order to exploit great dips in the stock market indices values.

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Market reactions to the arrival and containment of COVID-19: An event study

Abstract: Highlights We investigate short-term stock market reactions during the COVID-19 pandemic Stocks react significantly negatively to the announcement of the first death Stock markets react negatively to country-specific fiscal policy measures Monetary measures have the power to calm markets

Cited by 211 publications

References 32 publications

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

The impact of COVID-19 shocks on the volatility of stock markets in technologically advanced countries

An Empirical Study on the Equity Performance of China's Health Insurance Companies During the COVID-19 Pandemic—Based on Cases of Dominant Listed Companies

Profiting on the Stock Market in Pandemic Times: Study of COVID-19 Effects on CESEE Stock Markets

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