Market reaction, COVID-19 pandemic and return distribution

Chenglu Jin, Xingyu Lu and Yihan Zhang

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: The Coronavirus (COVID-19) pandemic is disrupting the world. Employing an event study, we find cross-country evidence that stock markets all significantly react to COVID-19, but with different speeds, strengths and directions. Moreover, reactions to COVID-19 also vary across quantile levels of return distributions in any given country, by using a augmented quantile auto-regression approach. US (Indian) markets generally show overreaction (underreaction), while Stock markets in Australia, Germany, Japan and UK overreact to the pandemic when quantile returns are below the median.

Keywords: Market reaction; COVID-19 pandemic; Return distributions; Event study; Quantile auto-regression approach (search for similar items in EconPapers)
JEL-codes: C12 C14 C22 C52 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000290

DOI: 10.1016/j.frl.2022.102701

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