Stock Return and the COVID-19 pandemic: Evidence from Canada and the US

Libo Xu

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

Abstract: We investigate the dynamic responses of stock return to the unexpected changes in the COVID-19 cases and the uncertainty associated with the pandemic. Using daily data from Canada and the US, we find there is a negative effect of an increase in the COVID-19 cases on the stock market in general. Moreover, the stock return responses are asymmetric in the increase and decrease in the cases in Canada. The asymmetry is caused by the negative impact of uncertainty about the pandemic. We also find that uncertainty adversely affects the US stock market. However, the magnitude is small.

Keywords: COVID-19; Stock return; GARCH-in-Mean VAR (search for similar items in EconPapers)
JEL-codes: C32 G31 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461232031686X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s154461232031686x

DOI: 10.1016/j.frl.2020.101872

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().