How do the sectoral indices react to COVID-19? Evidence from an emerging economy

The study empirically examines the impact of the COVID-19 on different sectoral indices of the National Stock Exchange (India) using the event study method and a generalised autoregressive conditional heteroskedasticity (GARCH) model. We provide evidence of positive impacts on the auto, oil and gas, healthcare, and pharma sectors. While the bank, financial services, and private bank sectors are the most adversely impacted sectors, the PSU bank, media, and reality sectors are the least impacted, and the rest are moderately impacted sectors. The overall impact of COVID-19 was negative until the implementation of nationwide lockdowns and the announcement of stimulus packages. The GARCH results exhibit more substantial evidence for the negative impact of the pandemic on the FMCG, IT, metal, oil and gas, and PSU bank sectors. We also find a more favourable impact on FMCG, pharma, and healthcare sectors in India.

The impact of governmental COVID‐19 measures on manufacturers' stock market valuations: The role of labor intensity and operational slack

This study investigates the impact of the Chinese government's Level I emergency response policy on manufacturers' stock market values. We empirically examine the roles of human resource dependence (labor intensity) and operational slack within the context of supply chain resilience. Through an event study of 1357 Chinese manufacturing companies, we find that the government's emergency response policy triggered statistically significant positive abnormal returns for manufacturers. However, we also find that there exists a negative impact on abnormal returns for manufacturers that are labor‐intensive, giving rise to arguments based in resource dependence theory. In addition, the results indicate the positive role played by operational slack (e.g., financial and inventory slack) in helping manufacturers maintain operations and business continuity, effectively mitigating risks and adding to the manufacturers' resilience. With these findings, we contribute to operations and supply chain management by calling attention to the importance of human resource redundancy while at the same time identifying financial slack and inventory as supply chain resilience strategies that were able to mitigate pandemic‐related risks.

How did advanced emerging stock markets respond to COVID-19 and the Ukraine invasion?

Orientation: The global economy and stock markets have been severely affected by two recent events, namely, the COVID-19 pandemic and the Russian invasion of Ukraine. Research purpose: This study aims to establish whether these two events had the same impact on the stock markets of the group of 11 advanced emerging markets and whether individual countries were affected to the same extent by these two events. Motivation for the study: During periods of instability and uncertainty, emerging markets are usually more vulnerable compared to developed markets. Previous studies have confirmed the presence of herd behaviour relating to emerging markets. Research approach/design and method: This empirical study used an event study approach to compare the stock market performance for the 30 days before the events with the 30 days after the events. The performance of the countries is further analysed and ranked to determine whether countries were affected similarly by the two events. Main findings: The COVID-19 pandemic had a much more severe initial impact on the stock markets of the advanced emerging markets compared to the invasion of Ukraine. Regional and country-specific factors were more relevant for the Ukraine invasion, with Eastern European countries more severely affected. There is no indication of herd behaviour by investors. Practical/managerial implications: Investors seemingly did consider country-specific factors and did not treat stock markets in this group in the same way. There is therefore scope for emerging market countries to benefit from sound fundamentals. Contribution/value-add: The specific focus on emerging markets as a homogeneous group is a novel contribution.

The Random Walk and Systematic Risk in Indonesia

Purpose: During the period 2022 until January 2023, several new global issues emerged besides the COVID-19 pandemic and had an impact on economic. This study aims to examine the weak form of market efficiency in Indonesia under the assumption that uncertain economic conditions tend to affect systematic risk and cause stock returns randomly move. Methodology: This study employs time series data based on the stock returns of 766 firms in Indonesia during the period January 3, 2022, to January 31, 2023. To detect random walk, the runs test is conducted with supporting of the variance ratio test. Findings: Systematic risk plays an important role in risky assets' efficiency during uncertain economic events which is consistent with the random walk theory. Otherwise, the impact of uncertain economic events on less risky assets gives the investors possibility to obtain extraordinary returns or abnormal returns. Originality/Value: This study examines market efficiency by taking into account the systematic risk of assets that are rarely analyzed at present.

(COVID-19)-Induced Flight to Quality

During crises, investment re-allocation from risky to safe assets, constitutes a flight to quality market environment. This study investigates the flight to quality in Thailand from risky stocks to safe government bonds. It describes returns using the modified, conditional regression model, and extracts the unobserved abnormal returns using the Kalman filtering technique. Estimates of abnormal returns were used in tests for the Granger causality of stocks to bonds, and for investigating the significance of the contributions of abnormal returns to a decreasing correlation. Flight to quality implies these test hypotheses. The data are returns representative of stocks listed on the Stock Exchange of Thailand and of bonds registered on the Thai Bond Market Association. The full period runs from August 28, 2018 to June 30, 2020, whereas the COVID-19 period covers November 18, 2019, to June 30, 2020. The return correlation in the COVID-19 period is more negative than that in the pre-(COVID-19) period. Stocks Granger cause bonds. The contribution share of COVID-19 to the falling correlation is 89.2080%. While the joint Wald-test for the non-significance of COVID-19's contributing correlations yields a p-value of 0.1144, the impulse response analyses suggest that they are all significant. Thailand has experienced flight to quality during the COVID-19 crisis.

COVID-19 Pandemic and Stock Performance: Evidence from the Sub-Saharan African Stock Markets

Emerging stock markets provide great opportunities for investment growth and risk diversification. However, they are more vulnerable to extreme market events. This study examines the effects of the COVID-19 pandemic on stock performance in sub-Saharan African stock markets. An event study method was used to determine whether there was any significant difference in sector returns before and during the pandemic, and panel data regression was used to determine the causal relationship between COVID-19 events and the abnormal returns observed. Four stock exchanges were chosen, including the two largest and two fastest-growing markets in sub-Saharan Africa. According to the study's findings, the information technology, consumer staples, and healthcare sectors outperformed during the pandemic, while the industrials, materials, and real estate sectors underperformed. The financial and consumer discretionary proved to be the most stable sectors during the pandemic. We also observed that the imposition of lockdown had a negative impact on the performance of most sectors in sub-Saharan African markets, whereas government assistance in the form of economic stimulus packages had no significant positive impact on stock performance except in the South African market. Furthermore, we find that increases in COVID-19 cases and deaths had no negative impact on capital markets, where stocks have responded positively to economic recovery aid. The study concludes that during the COVID-19 pandemic, stocks reacted more to government actions than the occurrence of the pandemic itself. © 2023 by the authors.

Layoffs and stock market performance during the COVID-19 pandemic: evidence from the US

PurposeThe authors examine the short-term stock market reaction surrounding US layoffs during the coronavirus disease 2019 (COVID-19) period. The authors' specific interest is on any changes that may be observed in US stock markets during the COVID-19 outbreak. This information will help us assess the extent to which policymakers adopted at time revenue and expenditures measures to minimize its negative impact.Design/methodology/approachThe authors study the linkage between layoffs announced by firms and stock markets in US for the COVID-19 period between March 2020 and October 2020. This period shows important economic figures;a huge number of job cuts announced by blue-chip companies listed in the New York Stock Exchange (NYSE) due to widespread economic shutdowns. The authors examine whether and to what extent stock markets in US have reacted to layoff announcements during the COVID-19 pandemic using an event-study methodology.FindingsThe study's results show that US layoffs during the pandemic did not cause any abnormalities on the stock returns, either positive or negative. Based on the mean-adjusted volume, the authors find that layoffs increase the stocks' trading volume, especially on the event date and the day following the event. US stocks become more volatile on the days following the event. Interestingly, on the event date, the authors find that stocks get the highest abnormal volatility;however, the result is statistically insignificant.Practical implicationsThe authors suggest that layoffs announcements follow the business cycle quite closely in most industries. The study's results have implications for investors, regulators and policymakers as they permit to examine the effectiveness of the measures adopted.Social implicationsThe study's results show that policymakers reduced uncertainty implementing intensive measures quickly and should follow similar policy in the future pandemic and/or unexpected events.Originality/valueThis paper contributes to the literature in two directions: First, to the best of the authors' knowledge this is the first study that provides empirical evidence and assesses the extent to which a major global shock such as the COVID-19 pandemic may have altered the reaction of US stock markets to layoff announcements. Second, this is the first study on this topic that examines volume and volatility abnormalities, while the authors check the robustness of the findings with different methods to calculate abnormal returns.

Performance of the African stock market amid COVID-19 global health crisis: empirical analysis using four events

The study employs the market model and event study approach with four events to examine the performance of the African stock market amid COVID-19 global health crisis. We use daily stock market data from 14 African countries (as a proxy for the African market) spanning September 2019 to June 2021 and COVID-19 data to estimate average abnormal returns for Africa. The results show significant positive average abnormal returns in Africa when the WHO announced COVID-19 as a global health epidemic. The events of infections and deaths generated significant negative average abnormal returns while the event of vaccination did not generate any significant average abnormal returns in the market. In as much as pandemics are unpredictable, the African market quickly recovers as depicted by COVID-19;therefore, we recommend to investors, speculators, and portfolio managers not to quickly exit the continent during pandemics. Copyright © 2023 Inderscience Enterprises Ltd.

Sustainability, Resilience, and Returns During COVID-19: Empirical Evidence from US and Indian Stock Markets

The growing number of consulting reports published globally show mixed evidence of higher returns for environmental, social, and governance (ESG) indices as compared to equity indices. The present study analyzes whether or not sustainability provided resilience, during turbulent times, to the US and India, who were worst hit by the COVID-19 pandemic. The study tests whether higher ESG scores led to higher stock returns during and after the COVID-19 pandemic. The findings revealed little and negative associations of sustainability with stock returns for sample firms during the COVID-19 crisis. There is no empirical evidence indicating that sustainability guarantees resilience during crisis times. Investors have their own preference channels and taste for sustainability that are beyond their financial motives. JEL Codes: Q01, G120 © 2023 Institute of Financial Management and Research.

Impact of COVID-19 Pandemic on Indian Stock Market Sectors

The start of the COVID-19 pandemic and official lockdown announcements had created uncertainty in global business operations. For the first time, the Indian stock market has significantly impacted. India is one of the most important rising economies in the world and has seen the value of its crucial stock indices plummet by about 40%. There are several studies on the impact of the pandemic on the stock market, but very few studies have focused on a comparative analysis of the first and second COVID-19 pandemic waves. The Fama French model of an event study is used to analyze the response of various sectoral indices during the pandemic. Although all industries were briefly damaged, the financial industry was the hardest hit. Industries such as pharmaceuticals, consumer products, and information technology had favorable or minor effects in both waves. The second wave had an insignificant impact compared to the first one, clearly indicating optimism and normality in the market despite the looming pandemic threat. © 2023, The Author(s), under exclusive license to Springer Nature Singapore Pte Ltd.

How the global airline industry behaved to restrictions on air travel to India? An event study analysis

We examine the impact of the recent restrictions/bans imposed by several nations on air travel to India in the light of the increasing number of infections amid the second wave of covid-19. We employ the standard event study method on a sample of 34 airline stocks across seven nations to find that the recent restrictions/bans on air travel significantly impact the global airline industry, although the country-specific impacts are not similar. We find that the post-event reaction in all nations has been different from those evidenced during the global pandemic declaration. We are the first to examine these impacts during the current wave of the pandemic. It contributes to the literature on the effects of the pandemic on the global airline industry. Further, it also provides practical explanations to the investors on how the airline stocks react to the persistence of the pandemic. © 2022 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.

Can Investors Profit from Utilizing Technical Trading Rules during the COVID-19 Pandemic?

In the past, it was believed that investors may generate abnormal returns (AR) for trading stocks by employing technical trading rules. However, since the COVID-19 pandemic broke out, stock markets around the world seem to suffer a serious impact. Therefore, whether investors can beat the markets by applying technical trading rules during the period of COVID-19 pandemic becomes an important issue for market participants. The purpose of this study is to examine the profitability of trading stocks with the use of technical trading rules under the COVID-19 pandemic. By trading the constituent stocks of DJ 30 and NASDAQ 100, we find that almost all of the trading rules employed in this study fail to beat the market during the COVID-19 pandemic period, which is different from the results in 2019. The revealed findings of this study may shed light on that investors should adopt technical trading with care when stock markets are seriously affected by black swan events like COVID-19. © 2023 World Scientific Publishing Company.

The Impact of the Corona Crisis on the Worldwide Stock Markets: An Empirical Analysis with Cross National Event Study Approach

The Corona Crisis led to a high drawdown in the stock markets in the whole world in March 2020. After that, infection rates, incidences, and dead people were published by many countries. Based on 11 stock price indices analyses according to volatility and correlation, we can conclude that only one event seems to be substantially affected by a Corona-related event not tied to specific countries. Therefore, in times of crisis, stock indices correlate highly positively. This leads us to a second step to our central research question: Do Corona dates significantly impact the stock price development? Therefore, we analyzed several events in Germany and the US with the event study approach. The main result is that only the March 2020 event significantly impacts the volatility and the returns. The following bad news but also the good news do not have any influence on the share prices and do not lead to abnormal returns. For example, the first approval of vaccinations had no apparent effect on the stock market, which was reflected in price movements comparable to those during the initial Lockdown.

Guest editorial: Implications of the Russia–Ukraine conflict on the global financial markets

Since the World Health Organization (WHO) declared the COVID-19 outbreak as a public health emergency of international concern, the global economy has been straining under a range of burdens: surging inflation and unemployment rates, tangled global supply chains and tumbling financial markets (Batten et al., 2022;Boubaker et al., 2022;Choudhury et al., 2022;Liu et al., 2022). [...]using a difference-in-differences (DID) analysis, they investigate the epidemic's impact on the market quality of overseas companies and compare it to that of local firms with the same name. [...]the authors compare international companies based on firm-specific features and those of their home countries. According to the authors' findings, the conflict has significantly negatively influenced airlines, although it has benefited the market for military goods. According to the results, investors in these energy markets exhibit a herding behavior.

Stock Price Reaction and Market Efficiency on Budget Announcement During Covid Periods: An Empirical Analysis of Indian Stock Market

This study empirically analysed the stock price reaction and the efficiency of Indian stock market of the Nifty 50 index around the budget announcements during covid periods from 2020 to 2022 by applying event study methodology. The market efficiency was tested by employing 61 days event study window including 30 days before and 30 days after the announcement date, and the event date of the budget, while the estimation window period comprises of 120 days of the pre-event period. The market model is employed to demonstrate abnormal returns near the event date and to assist in estimating expected returns. Abnormal returns, Average abnormal returns, Cumulative average abnormal returns, and ttests were applied for analysing the market efficiency on Indian budget announcements. This research paper reveals that the efficiency level of the Indian stock market is high and the investors can not make an abnormal profit over the budget announcements during Covid periods. © 2022, Remittances Review. All Rights Reserved.

Stock Markets Reaction to COVID-19: Evidence from Time-Varying Cointegration, Leveraged Bootstrap Causality and Event Analysis br

This paper examined the interconnectedness of COVID-19 and stock markets in some of th e most affected countries-USA, Italy, Spain and Germany. To this end, a time-varying cointegration technique was first employed to examine for the presence of comovementsbetween daily infections and stock market changes. A time-varying wild bootstrap likelihood ratio test was then employed to determine whether COVID-19 is a significant predictor of stock market performance. Lastly, an event study analysis was conducted to investigate the short-term effect of the outbreak on stock market returns. Findings revealed the existence of comovements between COVID-19 infections and stock price indices in all the selected countries. The rejection of the null hypothesis of no predictability was also recorded in all of the countries sampled. The event study analysis revealed that significant negative cumulative abnormal returns were predominant in all the countries. The reactions of the stock markets of the three European Union member countries included in the study to the pandemic are quite similar, suggesting that countries that are regionally and economically integrated are likely to experience relatively similar effects. The USA stock market was the most resilient to the impact of the outbreak

COVID-19 Outbreak and Sectoral-Level Stock Returns in the Tehran Stock Exchange: An Event Study

This article attempts to empirically investigate the impacts of the COVID-19 pandemic on average returns and investment risk of the 33 leading industries, categorized in nine groups of industries indexes, in Tehran Stock Exchange. Using an event-study methodology, our data sample (from 2018/12/15 to 2021/04/24) was partitioned into three sub-samples, namely estimated, event, and future windows. To address the main objectives of this study, variations in actual, abnormal, and cumulative abnormal returns of the estimated (pre-event) and future (post-event) windows were analyzed for all industries. The results confirmed that the "Retail except for Vehicles" and "Real State and Housing" industries have had the highest decrease in their average returns and, conversely, the "Telecommunication and Technology," "Financial," and "Pharmaceutical and Health" industries have experienced the most considerable increase in the average returns. Furthermore, the analysis of the time required for the effectiveness of the pandemic impacts on the stock returns showed that a 14-day lag (after the exposure) is needed for various industries to respond to the event. Ultimately, our empirical evidence confirmed that the uncertainty caused by the COVID-19 outbreak has negatively affected almost all industries active in the TSE. © 2022 by the Author(s).

An Examination of Life Insurer Share Price Behavior Surrounding Covid-19 Death Announcements

As of May 2022, the Covid-19 pandemic records over 1 million deaths in the United States. Pertinent to the reported number of deaths, it is questioned whether life insurance firms gained or lost from those incidences. This paper pursues an event study that examines life insurer share price behaviors by the announcements reporting the cumulative death numbers when they reach a certain threshold. We find that life insurers' share prices drop with every announcement. Specifically, our analysis finds evidence for the support of the damage hypothesis based on two competing eses in the literature: damage and revenue hypothesis. Our post-analysis also finds that the pandemic penalized overvalued firms and discouraged dividend cash spending.

Stock Market Responses to the CoVId-19 Health Crisis: evidence From the world’s Largest economies

The outbreak of the novel COVID-19 pandemic emerged as a major black swan event which has caused shock waves and severely hurt the sentiments of market participants. The pandemic has raised uncertainties and risks all over the world, impacting substantially the world’s 20 largest economies. While the stock markets’ intense reaction to the official news of the pandemic is well known, the reaction of largest world economies during the initial phases of the outbreak until 11th March 2020 is not very well established. Therefore, the present study investigates how stock markets in world’s 20 largest economies have reacted to major events and press releases associated with disease from the beginning of the pandemic (i.e., 31st December 2020 till 11th March 2020). The results of the study suggest that the declaration of the novel COVID-19 as a pandemic was the most devastating event for stock markets. This was confirmed by using various parametric and non-parametric tests. In addition, the last event was further analyzed by observing CARs of various indices individually. © 2022 IGI Global. All rights reserved.

ESG as a Booster for Logistics Stock Returns—Evidence from the US Stock Market

This article investigates the connection between US logistics companies’ commitment to environmental, social and fair governance (ESG) strategy and their performance on the US stock market during the 2007–2022 period. The research considers historical data analysis, CAPM and a comparison of optimised portfolios. According to the results of the analyses, ‘green’ logistics stocks are less volatile, and hence less risky, and more profitable compared to ‘non-green’ logistics stocks. The Great Recession (2007–2009) and the COVID-19 pandemic (2020) had the greatest impact on stock volatility, in terms of the US stock market. Optimised during the time of the Ukrainian crisis, green logistics portfolios were shown to have higher returns, but also risks and Sharpe ratios, than ‘non-green’ ones. The results confirm there to be a connection between companies’ commitment to ESG strategy and enhanced stock performance, which contributes to the importance of the ESG agenda.