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The Financial Derivatives Market and the Pandemic: BioNTech and Moderna Volatility

Author

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  • Alberto Manelli

    (Department of Management, Polytechnic University of Marche, Piazzale Martelli 8, 60121 Ancona, Italy)

  • Roberta Pace

    (Department of Industrial and Information Engineering and Economics, University of L’Aquila, Via G. Mezzanotte, 67100 L’Aquila, Italy)

  • Maria Leone

    (Department of Management, Polytechnic University of Marche, Piazzale Martelli 8, 60121 Ancona, Italy)

Abstract

Global society’s comfort and well-established certainties have been unpredictably and foundationally undermined by the emergence of the COVID-19 virus. The announcement of the pandemic by the WHO has halted global economic activities, and the financial markets have recorded drastic losses. In this context of uncertainty and economic downturn, many traditional companies have been negatively impacted, but the biotechnology sector, which has already been growing for some years, registered high growth rates and earnings. In particular, this study focused on the two most significant biotech companies, BioNTech and Moderna, the two start-ups that first commercialized COVID-19 vaccines. The GARCH (1,1) model examines the relation of two stock prices and the volatility of derivatives markets before and after the outbreak of the pandemic. The variables used in the analysis are the U.S. technologic market index, the market volatility, and Brent future prices. The results suggest a different reaction of market volatility and Brent future prices on the return of both companies. Additionally, during the COVID-19 period, a contagion effect between both companies and the technological market was observed.

Suggested Citation

  • Alberto Manelli & Roberta Pace & Maria Leone, 2023. "The Financial Derivatives Market and the Pandemic: BioNTech and Moderna Volatility," JRFM, MDPI, vol. 16(10), pages 1-13, September.
    • Handle: RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:420-:d:1245999
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    References listed on IDEAS

    as
    1. Akhtaruzzaman, Md & Boubaker, Sabri & Sensoy, Ahmet, 2021. "Financial contagion during COVID–19 crisis," Finance Research Letters, Elsevier, vol. 38(C).
    2. Paul Gompers & Josh Lerner, 2001. "The Venture Capital Revolution," Journal of Economic Perspectives, American Economic Association, vol. 15(2), pages 145-168, Spring.
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