IDEAS home Printed from https://ideas.repec.org/a/eee/reveco/v95y2024ics1059056024004209.html
   My bibliography  Save this article

An industry-level analysis of a pandemic's impact on stock market risk

Author

Listed:
  • Peterburgsky, Stanley

Abstract

We examine stock market risk surrounding the height of the COVID-19 pandemic at the industry level. We find that low-beta industries experienced a significant increase in relative risk at the worst possible time, while high-beta industries saw a reduction in relative risk. Shocks to market beta were not accompanied by offsetting changes in loadings on other factors, suggesting that risk didn't merely shift from one factor to another. Risk dynamics differed substantially from those surrounding the height of the 2008 financial crisis. Our results bear important implications for investors, firms, financial intermediaries and regulators in the event of another pandemic.

Suggested Citation

  • Peterburgsky, Stanley, 2024. "An industry-level analysis of a pandemic's impact on stock market risk," International Review of Economics & Finance, Elsevier, vol. 95(C).
    • Handle: RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004209
    DOI: 10.1016/j.iref.2024.103428
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1059056024004209
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.iref.2024.103428?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Industry; Risk; Pandemic; COVID-19; Coronavirus;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004209. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/620165 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.