What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation

Engelhardt, Nils; Krause, Miguel; Neukirchen, Daniel; Posch, Peter N.

doi:10.3390/su12125014

Cited by 38 publications

(31 citation statements)

References 42 publications

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“…In addition to contributing to the recent literature on the COVID-19 market reactions (e.g., [29][30][31][32][33]), our findings contribute to the ongoing debate over the performance of sustainable investments in the following ways. First, our study makes it possible to evaluate the financial performance of sustainable investments in times of exceptional crisis from a worldwide health emergency and by uncommon measures put in place by governments to preserve global health.…”

Section: Introductionmentioning

confidence: 55%

The Impact of COVID-19 Lockdowns on Sustainable Indexes

Chiappini

Vento

Palma³

2021

Sustainability

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This paper analyzes the response of sustainable indexes to the pandemic lockdown orders in Europe and the USA, contributing to both the research on the effects of the global pandemic outbreak and the resiliency of sustainable investments under market distress. Our results demonstrate that sustainable indexes were negatively impacted by lockdown orders; however, they did not show statistically significant different abnormal returns compared to traditional indexes. Similarly, our empirical results confirm that sustainable screening strategies (negative, positive, best in class) did not have an influence during such announcements. These results are robust across several model specifications and robustness tests, including nonparametric tests, generalized autoregressive conditionally heteroskedastic (GARCH) estimation of abnormal returns, and alternative events. The findings suggest that investors do not have to pay the price for the investments in sustainable assets when a bear market occurs; consequently, ceteris paribus, these investments appear suitable for financial-first investors. Such results have relevant practical consequences in terms of sustainable investment attractiveness and market growth.

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Section: Introductionmentioning

confidence: 55%

The Impact of COVID-19 Lockdowns on Sustainable Indexes

Chiappini

Vento

Palma³

2021

Sustainability

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“…It is thought that these figures reflect the pandemic very well and using the cumulative figures may be misleading. Moreover, a negative relationship between the pandemic indicators and the main indices is expected by considering recent studies (Adekoya and Kofi Nti 2020;Ahmed 2020;Al-Awadhi et al 2020;Ali, Alam, and Rizvi 2020;Ashraf 2020;Bahrini and Filfilan 2020;Baker et al 2020;Chowdhury and Abedin 2020;Corbet et al 2020;Engelhardt et al 2020;Erdem 2020;Gherghina, Armeanu, and Joldeș 2020;Kartal, Depren, and Kılıç Depren 2020;Liu et al 2020;Mazur, Dang, and Vega 2020;Narayan, Phan, and Liu 2020;Phan and Narayan 2020;Shehzad, Xiaoxing, and Kazouz 2020;Topcu and Gulal 2020;Zhang, Hu, and Ji 2020;Akhtaruzzaman, Boubaker, and Şensoy 2020a). However, there can be neutral nexus between the pandemic indicators and the main indices if the pandemic becomes very common and spreads to every country and it is perceived as a normal part of daily life.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Stock exchanges and stock market indices also react to pandemic diseases, such as Ebola and Severe Acute Respiratory Syndrome (SARS) outbreaks (Chen, Jang, and Kim 2007;Ichev and Marinč 2018). Naturally, stock exchange indices have been influenced deeply in these times (Engelhardt et al 2020). According to the volatility (VIX) index, the Covid-19 pandemic is the most significant global phenomenon that the world has ever faced (Bloomberg 2020).…”

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confidence: 99%

How Main Stock Exchange Indices React to Covid-19 Pandemic: Daily Evidence from East Asian Countries

Kartal

Depren

2020

Global Economic Review

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This study investigates whether the Covid-19 and the financial indicators affect the main stock exchange indices of East Asian countries. Number of cases and deaths caused by Covid-19, uncertainty, volatility, foreign exchanges, and mobility are examined by using Quantile Regression and comparing the prepandemic and the pandemic periods. The results shows that (i) the indicators have a significant negative impact as expected;(ii) the impact of mobility and pandemic indicators has significance in the trend of the indices whereas they differentiate among countries; (iii) the impact of the variables is significantly differentiated from the low level to the high level.

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“…Regarding prior studies on investigating the economic impacts of COVID-19 outbreak, first, for the cross-country studies, Ashraf [ 24 ] finds the growth in the number of country-level confirmed cases of COVID-19 has a negative effect on stock markets based on the 64 countries over the period 22 January to 17 April 2020. In addition, Engelhardt et al [ 7 ] confirm that news attention of COVID-19 associate with the stock markets’ decline. Also, Zhang et al [ 4 ] show that the COVID-19 pandemic leads to an increase in global financial market risks based on the cross-country evidence.…”

Section: Background Literature and Hypothesis Developmentmentioning

confidence: 99%

Risk Assessment on Continued Public Health Threats: Evidence from China’s Stock Market

2020

IJERPH

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Given the disturbing effects of the coronavirus disease 2019 (COVID-19) outbreak, we are motivated to examine whether the continued increase of the provincial public health threats affects the firms’ accumulative abnormal return. Using the 178,805 firm-day observations from Chinese listed firms from 10 January to 31 March 2020, we find that the accumulative abnormal return is significantly lower among firms located in the provinces where face the continued increase of new confirmed COVID-19 cases. The relations remain constant after several robustness tests. These findings suggest that investors concern about the potential risk when firms are located in the provinces with higher threats to public health. We also find that the negative effect of increasing public health threats on abnormal return is weaker for firms surrounded by a provincial environment with stronger information accessibility and economic growth. Overall, this study extends the literature by presenting systematic evidence on the effect of the continued increase of provincial public health threats on the market reaction in Chinese listed firms.

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What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation

Cited by 38 publications

References 42 publications

The Impact of COVID-19 Lockdowns on Sustainable Indexes

The Impact of COVID-19 Lockdowns on Sustainable Indexes

How Main Stock Exchange Indices React to Covid-19 Pandemic: Daily Evidence from East Asian Countries

Risk Assessment on Continued Public Health Threats: Evidence from China’s Stock Market

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