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An event study on the impacts of Covid-19 on the global stock markets

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  • Dharen Kumar Pandey
  • Vineeta Kumari

Abstract

With a sample of 23 developed and 26 emerging market indices using the standard event methodology (Brown and Warner, 1980, 1985), with the market model estimation, the hypotheses that 'Covid-19 cases do not impact the stock market returns' and 'Covid-19 deaths do not impact the stock market returns' have been tested. The empirical results infer that the markets have reacted differently to different events. While the market reaction differs in the case of the first Covid-19 cases detected, the market reaction is similar in the case of the first Covid-19 deaths. The events have negatively and significantly impacted the global stock markets anticipating more severity in the future. The average change in the high-lows of the global indices has been minus 33%. However, this is an initial impact, and the long-term impact will be a topic for future research. The speed of recovery would depend upon how the outbreak is controlled and what are the future policy choices made by the governments.

Suggested Citation

  • Dharen Kumar Pandey & Vineeta Kumari, 2021. "An event study on the impacts of Covid-19 on the global stock markets," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 8(2), pages 148-168.
    • Handle: RePEc:ids:ijfmkd:v:8:y:2021:i:2:p:148-168
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    Citations

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    Cited by:

    1. Kumari, Vineeta & Kumar, Gaurav & Pandey, Dharen Kumar, 2023. "Are the European Union stock markets vulnerable to the Russia–Ukraine war?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    2. ATM Adnan & Sameer Al Johani, 2023. "Stock Market Reaction to COVID-19: A Cross-Sectional Industry Analysis in Frontier Market," IIM Kozhikode Society & Management Review, , vol. 12(2), pages 157-181, July.
    3. Goutam Sutar & Krantiraditya Dhalmahapatra & Sayan Chakraborty, 2023. "Impact of India’s Demonetization Episode on its Equity Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(4), pages 649-675, December.
    4. Gupta, Somya & Pandey, Dharen Kumar & El Ammari, Anis & Sahu, Ganesh P., 2023. "Do perceived risks and benefits impact trust and willingness to adopt CBDCs?," Research in International Business and Finance, Elsevier, vol. 66(C).

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