Impact of novel coronavirus outbreak-related announcements on pharmaceutical stocks: empirical evidence from an emerging market

Vineeta Kumari, Varun Kumar Rai and Dharen Pandey

International Journal of Monetary Economics and Finance, 2023, vol. 16, issue 1, 40-57

Abstract: This study uses the event study method to examine the impact of COVID-19 outbreak-related announcements on the returns and volatility of 74 exchange-listed Indian pharmaceutical stocks. We find significant negative effects of pandemic-related announcements on stock returns and volatility in an emerging market, particularly during the declaration of a global pandemic. Further, small-cap stocks are hit harder than large-cap and mid-cap stocks. We also use abnormal volatility to assess the outbreak's impact on market volatility. We also find waning effects in the post-event window analysis. Our findings are consistent with current literature.

Keywords: event study; market model; abnormal return; abnormal volatility; emerging market; COVID-19; global pandemic. (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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