An industry-level analysis of a pandemic's impact on stock market risk

Stanley Peterburgsky

International Review of Economics & Finance, 2024, vol. 95, issue C

Abstract: We examine stock market risk surrounding the height of the COVID-19 pandemic at the industry level. We find that low-beta industries experienced a significant increase in relative risk at the worst possible time, while high-beta industries saw a reduction in relative risk. Shocks to market beta were not accompanied by offsetting changes in loadings on other factors, suggesting that risk didn't merely shift from one factor to another. Risk dynamics differed substantially from those surrounding the height of the 2008 financial crisis. Our results bear important implications for investors, firms, financial intermediaries and regulators in the event of another pandemic.

Keywords: Industry; Risk; Pandemic; COVID-19; Coronavirus (search for similar items in EconPapers)
JEL-codes: G10 G11 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:95:y:2024:i:c:s1059056024004209

DOI: 10.1016/j.iref.2024.103428

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