Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach

Masagus M Ridhwan, Solikin Juhro, Affandi Ismail (), Peter Nijkamp and Kelvin Ramadhan Hidayat ()
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Affandi Ismail: SMERU Research Institute, Indonesia
Kelvin Ramadhan Hidayat: Bank Indonesia, Indonesia

Bulletin of Monetary Economics and Banking, 2024, vol. 27, issue 1, 25-82

Abstract: We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas estimates using weekly returns exhibit the opposite trend . The market reacts more negatively to the COVID-19related news than the number of COVID-19 cases/deaths. Overall, this study confirms the disruptive effect of COVID-19 pandemic on stock market performance.

Keywords: A meta-regression analysis; COVID-19; Stock market return; Stock market volatility (search for similar items in EconPapers)
JEL-codes: C8 G15 I1 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:27:y:2024:i:1b:p:25-82

DOI: 10.59091/2460-9196.2193

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