Market reactions to the arrival and containment of COVID-19: An event study

Kim J. Heyden and Thomas Heyden

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We study the short-term market reactions of US and European stocks during the beginning of the COVID-19 pandemic. Employing an event study, we document that stocks react significantly negatively to the announcement of the first death in a given country. While our results suggest that the announcements of country-specific fiscal policy measures negatively affect stock returns, monetary policy measures have the potential to calm markets. These reactions are either intensified or lessened by firm-specific characteristics such as tangible assets, liquidity, and institutional holdings.

JEL-codes: E50 E52 E62 G14 G18 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320306711

DOI: 10.1016/j.frl.2020.101745

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