World capital markets facing the first wave of COVID-19: Traditional event study versus sensitivity to new cases

Angosto-Fernández Pedro Luis () and Ferrández-Serrano Victoria ()
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Angosto-Fernández Pedro Luis: Casa del Paso Building. Universidad Miguel Hernández de Elche. Plaza de Las Salesas, s/n. Zip Code: 03300, Orihuela, Spain
Ferrández-Serrano Victoria: La Galia Building. Universidad Miguel Hernández de Elche. Avenida de la Universidad s/n. Zip Code: 3202, Elche, Spain

Economics and Business Review, 2022, vol. 8, issue 4, 5-38

Abstract: The aim of the paper is to analyse the impact of the new coronavirus on financial markets. The sample comprises returns from 80 countries, across all regions and incomes for the period known as the first wave. By combining event study methodology and time series analysis of new COVID-19 cases it is found that the negative price effect is widespread but unequal across regions. It is also noted that the distribution of the impact is also uneven with a high concentration in the week after the first local case but especially in the weeks around the pandemic declaration. Finally, it has been shown at different levels how the markets most affected by the crisis are not necessarily the most sensitive to the virus.

Keywords: financial markets; event study; COVID-19; coronavirus; stock returns (search for similar items in EconPapers)
JEL-codes: C32 F65 G01 G14 G15 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:ecobur:v:8:y:2022:i:4:p:5-38:n:4

DOI: 10.18559/ebr.2022.4.2

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