The Heterogeneous Effects of COVID-19 Outbreak on Stock Market Returns and Volatility: Evidence from Panel Quantile Regression Model

ABSTRACT

The purpose of this study is to probe the impact of the novel coronavirus (COVID-19) outbreak on stock market returns and volatility in developed markets. We employ a panel quantile regression model to capture unobserved individual heterogeneity and distributional heterogeneity. The study's findings reveal that there is a heterogeneous impact of COVID-19 on stock market returns and volatility. More specifically, there is a negative impact of COVID-19 on stock returns in the bearish stock market;however, there is an insignificant impact of COVID-19 on stock returns in the bullish stock market. Furthermore, COVID-19 has a positive impact on stock market volatility across all quantiles.