Black swan events and COVID-19 outbreak: Sector level evidence from the US, UK, and European stock markets

Wasim Ahmad, Ali Kutan and Smarth Gupta

International Review of Economics & Finance, 2021, vol. 75, issue C, 546-557

Abstract: Studies investigating the impact of coronavirus outbreak at the sector (industry) level are scant and focus on the USA market. We examine this issue for the US, UK, and the European stock markets, using endogenous structural break models and factor-augmented event study methodology by identifying the critical events. We find that the impact of coronavirus outbreak to the extent of black swan events is visible in March and, till the end of March 2020, the investors had limited opportunities for investment except for a few sectors in the US, UK, and Europe due to black swan events. Specifically, we find some stocks in consumer staples, healthcare, telecommunications, utilities, and financials were the attention-seekers and different sectors in our sample countries had different reactions to the outbreak. Overall, the analysis provides the reasons for panic buy and sell.

Keywords: Stock index; Sectoral returns; Black-swan events; COVID-19; Structural break; Event study (search for similar items in EconPapers)
JEL-codes: C34 G12 G13 G14 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:75:y:2021:i:c:p:546-557

DOI: 10.1016/j.iref.2021.04.007

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