The Covid-19 Pandemic and the Moroccan Financial Market: An Event Study (original) (raw)
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International Journal of Finance & Economics, 2021
This paper investigates the short‐term response of the Saudi stock market (Tadawul) to the COVID‐19 outbreak. Event study methodology applied to data derived from the 21 industry groups that constitute the Saudi stock market to calculate abnormal returns for the trading days after the announcement of the COVID‐19 in both China and Saudi Arabia. The results indicate that the estimated CARs for the industry groups and their sum on the event day were not statistically significant. Furthermore, the formal announcement of the first case of the COVID‐19 in China had a negative but not significant impact on the Saudi stock market. In contrast, in the first 9‐days event window, the announcement of the first confirmed case in Saudi Arabia had a negative and significant effect. Moreover, the most negatively affected industry groups were banks, consumer services, capital goods, transportation and commercial services, whereas telecommunication services and food and beverage were positively affe...
Economics Literature, 2021
The Covid-19 pandemic has deeply affected our health and social life as well as the financial markets. Although the global economic effects of the coronavirus are not yet clear, it is observed that there is a reaction in the financial markets to the developments related to the pandemic. Studies show that the pandemic has strong impact on stock markets and increases uncertainty. The purpose of this study is to examine whether the stock prices of companies traded on the Istanbul Stock Exchange Market between 02.14.2019 and 04.01.2020 are affected by the Covid-19 pandemic. In this context, the stock prices of the six major sectors traded and thought to be affected in Istanbul Stock Exchange Market during the period examined were analyzed using the "event study" method of the effects of Corona virus. In the analysis, the event window was taken as (- 15, + 15) trading days. The effects of the Corona virus in the relevant period were examined separately for each company in the s...
Journal of Economic Impact
The outbreak of COVID-19 has hampered the economies in all over the world. Due to this pandemic, many economic activities worldwide continue to be slumps. Current study examines the effect of COVID-19 contagion epidemic on stock markets of 23 OIC economies. Event study approach is employed to quantity abnormal returns (ARs). Fixed effect and random effect models are employed for the cause of abnormal return. Sixty (0 to 59) days, including the event day, are observed in the event window at the release of news related to COVID-19 in media at the international level; each window contains ten days. Pre-event window includes 120 days afore from the event day. We examine the ARs significantly negative in 4 ensuing windows in 59 days. Negative AR is significant for developed as well as developing economies. Findings reveal that the cumulative ARs from day first to day 33 remain in the range of decimal -0.203 to single digit -9.09. Still, from day 34 to day 59, it remains in the range of d...
COVID-19 Outbreak and Emerging Stock Markets Responses: An Event Study Approach
Despite of possible containment measures taken by countries to limit the spread, novel coronavirus caused a dramatic decline in economic activities resulting tremendous surge in stock market volatility. To examine the impact of COVID-19 on the two important stock markets of Bangladesh, event study methodology (ESM) has been performed entirely based on the daily indices values for Dhaka Stock Exchange (DSE) and Chittagong Stock Exchange (CSE). The market model is functioned based on an observation of 260 trading days from February 20, 2019, to March 25, 2020. Major findings of the study reveal the presence of significant negative abnormal return with high volatility for DSEX and CASPI during the event periods. Besides, there was a substantial decrease in the stock returns for most of the industries, particularly food, textile, ceramic, cement, and I.T. industries listed under DSE. Nonetheless this study sheds light on high variability in DSEX and CASPI due to the outbreak of the pandemic and lockdown policy adopted by the government of Bangladesh. It will contribute to the existing literature and the empirical work examing the COVID-19 and stock market response relationship.
The Impact of COVID-19 Pandemic on Global Stock Markets: An Event Study
International Journal of Economics and Business Administration, 2020
Purpose: This study aims to empirically examine the immediate reaction of affected countries' stock market indices to COVID-19. Approach/Methodology/Design: The study applies an event study methodology using daily data series of stock price indices. Findings: Evidence from eleven global stock market indices shows that the first confirmed COVID-19 case announcement has had a significant negative impact on the returns. Moreover, these effects were more substantial following the WHO announcement of COVID-19 as a global pandemic on March 11, 2020. Practical Implications: The rapidly developing outbreak of the COVID-19 pandemic has depressed the affected countries' economies and caused turmoil in global financial markets. The results presented in this paper shed some light on the potential economic and social cost of COVID-19 concerns policymakers and other stock market stakeholders. Originality/value: The results suggest that stock markets have captured investors' expectations over potential adverse economic consequences of COVID-19. Moreover, there is evidence for an underreaction to the pandemic's announcement, as shown by the delayed response of stock markets in terms of significant CARs. These findings leave a wish list of topics for future research.
Mixed reactions of Africa regional stock markets to COVID-19 pandemic: events study analysis
Accounting, 2023
COVID-19 has caused severe disruptions in global economic activities, and its impacts on stock markets cannot be overemphasized. The study employs market model and event study approach with four events (WHO announcement of COVID-19 as a global health emergency, confirmed infections, confirmed deaths, and vaccination) to examine the reactions of four African regional blocs’ markets to the pandemic from September 1, 2019, to August 31, 2021, to estimate the average abnormal returns of each regional bloc. On the day of the WHO announcement, we document insignificant negative average abnormal returns in the Northern bloc. We also document significant negative average abnormal returns for infections in all but the Northern bloc on the event day. The Western bloc generated the highest significant negative average abnormal return (-43 per cent) on the day COVID-19 death was confirmed on the continent. We finally document insignificant average abnormal returns from weeks 1 to 20 after the first vaccination in the Northern and Eastern blocs. The study recommends that investors, portfolio managers, and speculators not panic during similar pandemics since they can generate significant abnormal returns and diversify their investment holdings across the four regional blocs in Africa, as demonstrated by the COVID-19 pandemic.
Global Business Review
This study examines the impact of the COVID-19 outbreak on the stock markets of G-20 countries. We use an event study methodology to measure abnormal returns (ARs) and panel data regression to explain the causes of ARs. Our sample consists of indices in G-20 countries. The observed window comprises 58 days post the COVID-19 outbreak news release in the international media, and the estimation window consists of 150 days before the event date. We find statistically significant negative ARs in the four sub-event windows during the 58 days. Negative ARs are significant for developing as well as developed countries. The findings of this study reveal that cumulative average abnormal return (CAAR) from day 0 to day 43, ranging from –0.70 per cent to –42.69 per cent, is a consequence of increased panic in the stock markets resulting from an increased number of COVID-19 positive cases in the G-20 countries. From day 43 to day 57, CAAR ranging from –42.69 per cent to –29.77 per cent indicates...
International Journal of Finance & Economics, 2021
This study uses the Wilcoxon's signed ranks test to identify the effect of the Covid-19 outbreak on the stocks returns of companies listed on the West African Economic and Monetary Union's (WAEMU) stock market by considering two event dates (January 23, 2020 and March 2, 2020). To account for the temporal volatility in the event approach, the study resort to a GARCH model. Empirical findings suggest that January 23, 2020 event (first case of death due to Covid-19 in China) have had a minor impact on the WAEMU stock market while the event on March 2, 2020 (first case of Covid-19 in the WAEMU) strongly affected the financial market. This negative impact is much more pronounced for the distribution sectors (−34.16%). Robustness analysis reveals that the main information leading to disruption on the market is the weekly death cases and not the confirmed cases. In addition, government anti-Covid-19 measures such as social distancing and governance positively affect the stock return whereas lockdown, public health measures and movement restrictions contribute to a decline in the stock's price.
International Evidence of COVID-19 and Stock Market Returns: An Event Study Analysis
International Journal of Economics and Financial Issues, 2020
We study the effect of the first registered case of COVID-19 on stock market returns using event study analysis. Mean-adjusted returns and market model methods are used to estimate cumulative abnormal returns for 30 countries. The results show that stock market returns experience a downwards trend as well as significant negative returns following the COVID-19 outbreak.
Market reaction to the Covid-19 pandemic: Events study at stocks listed on LQ45 index
Cogent Business & Management, 2022
This study aims to examine the market reaction to the Covid-19 pan-demic using stocks listed on the LQ45 Index, by using the event study method to calculate and analyze the difference in Average Abnormal Return (AAR) and Trading Volume Trading (TVA) during the Covid-19 pandemic that occurred in Indonesia. The population for the study is companies listed on the LQ45 Index with a sample of 41 companies taken by purposive sampling technique. Statistical analysis was con-ducted by using events study with paired sample t-test in determining the abnormal return difference test for each event. The first finding was that the LQ45 stock market reacted positively since the confirmation of the Covid-19 outbreak in Wuhan, China, as investors did not consider this information bad news. Second, LQ45 shares have shown a decline since the first confirmed Covid-19 patients in Indonesia. Third, the announcement of a pandemic by the World Health Organization (WHO) continued until the Jakarta regional lockdown in April 2020 made LQ45 respond negatively. The market began to respond positively after the first vaccination in Indonesia in January 2021. Overall, the results show that the LQ45 stock market has responded quickly to the Covid-19 pandemic from the start events and responses vary over time depending on events during the pandemic. Investors tend to be quick to respond to any event so that stock movements are