Stock price reactions to the first wave of the COVID-19 pandemic: evidence from Greece

This study investigates stock price performance at the industry level during the first wave of the COVID-19 pandemic in Greece. The analysis distinguishes between five periods from January to May 2020, namely the pre-incubation, incubation, outbreak, lockdown, and lockdown lift periods. The study provides evidence that industry-level stock returns witnessed their largest drop during the outbreak period. In particular, the travel and leisure, construction, telecommunications, industrial goods, real estate, technology and utility sectors had, on average, highly negative cumulative returns. The results also reveal a partial recovery in equity prices during the lockdown period, possibly due to the announcement of fiscal stimulus measures by the Greek government, along with the initiation of the ECB’s pandemic emergency purchase programme (PEPP). The telecommunications, construction, technology, and travel and leisure sectors exhibited the highest performance over that period. The study also evaluates the reaction of industry-level stock returns relative to the market index, performing an event study analysis. The empirical findings show that the utilities, telecommunications, personal goods and retail sectors experienced fewer losses compared with the market index during the outbreak period in Greece. Finally, despite the partial recovery of equity prices in the lockdown period, the results show that the basic raw materials, food and beverage, industrial goods and retail sectors underperformed compared with the market index in the short run.