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

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  • 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
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    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

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