The impact of the COVID-19 pandemic on the Russian stock market

V. Nazarova, I. Churakova and M. Suvorova
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V. Nazarova: HSE University, Saint Petersburg, Russia
I. Churakova: HSE University, Saint Petersburg, Russia
M. Suvorova: HSE University, Saint Petersburg, Russia

Journal of the New Economic Association, 2024, vol. 63, issue 2, 117-143

Abstract: This research investigates the Russian stock market response to COVID-19 pandemic and compares how the reactions to it varied among the industries. The event study and Wavelet coherence were applied to answer the research question. It was discovered that the Russian stock market in general had a strong negative reaction to the COVID-19 outbreak. However the response to the first case was stronger than the response to the first COVID-19 related death. It was also discovered that most of the industries reacted to the pandemic in line with the overall negative reaction of the market, with transportation and financial sectors demonstrating the most strong response. The returns of the different sectors showed high coherence during the first wave of the pandemic that is another finding. However, the chemical sector reacted rather moderately to the COVID-19 and demonstrated lower coherence with the other sectors during the first wave of the pandemic, so it might be beneficial to include the stocks of the chemical companies in the portfolio for its diversification. The results obtained have practical value for the investors (in terms of portfolio construction) and governmental regulators that are trying to mitigate the impact of the shocks on the stock market.

Keywords: COVID-19 pandemic; Russian Stock Market; event study; Wavelet coherence (search for similar items in EconPapers)
JEL-codes: D24 F21 G32 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:nea:journl:y:2024:i:63:p:117-143

DOI: 10.31737/22212264_2024_2_117-143

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