The Impact of COVID-19 on Firm Stock Price Volatility

Marinela Chamzallari (), Antonios Chantziaras () and Christos Grose ()
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Marinela Chamzallari: International Hellenic University
Antonios Chantziaras: International Hellenic University
Christos Grose: International Hellenic University

A chapter in Business Development and Economic Governance in Southeastern Europe, 2022, pp 433-450 from Springer

Abstract: Abstract Our study investigates the impact of the COVID-19 external shock on the stock return volatility of global firms. Using a sample of 30,516 firms, accounting for 60% of listed firms globally, scattered across 63 countries, we evidence that COVID-19 cases (fatalities) have a positive and significant impact on stock return volatility of global firms, measured at different estimation intervals (windows of 30, 60, 90, 180, and 250 days). In particular, a one standard deviation increase in COVID-19 cases (fatalities) is associated with 0.79% (0.86%) increase in firm volatility. Additionally, we inform that the effect of COVID-19 is amplified for companies from Oceania and Asia. Our insights are advantageous to a wide spectrum of stakeholders, including managers, market participants, and policy makers.

Keywords: COVID-19; Volatility; Return stability (search for similar items in EconPapers)
JEL-codes: G01 G15 G32 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-031-05351-1_24

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DOI: 10.1007/978-3-031-05351-1_24

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