A Study on Abnormal Returns of Major Stock Markets Due to Pandemic

Abstract

This study looks at impacts of COVID-19 epidemic affected the security markets of 20 developed and developing nations. The 20 developing and developed countries that the indexes in our sample reflect are examined using an event study technique, and panel data regression is used to ascertain the reasons for abnormal returns (ARs). Although the observational frame starts 58 days after the COVID-19 pandemic was highlighted by the worldwide press, the estimate period begins 150 days prior to the date of event. In 4 of the 58-day sub-event periods, we find negatively correlated ARs that are statistically significant. Both emerging and developing economies suffer from negative ARs. The investigation's findings show that the CAAR (Cumulative Average Abnormal Return) varied by 0.70 percent to 42.69 percent in the time span of day 0 to day 43. The CAAR fluctuated from day 43 to day 57, from -42.69% to -29.77%, showing the stock markets' recovery after a substantial stock price decline caused by COVID-19. Furthermore, findings from panel data analysis corroborate the optimistic stock market recovery.