Market reaction, COVID-19 pandemic and return distribution

The Coronavirus (COVID-19) pandemic is disrupting the world. Employing an event study, we find cross-country evidence that stock markets all significantly react to COVID-19, but with different speeds, strengths and directions. Moreover, reactions to COVID-19 also vary across quantile levels of retur...

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Detalles Bibliográficos
Autores principales: Jin, Chenglu, Lu, Xingyu, Zhang, Yihan
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8824359/
https://www.ncbi.nlm.nih.gov/pubmed/35153631
http://dx.doi.org/10.1016/j.frl.2022.102701
Descripción
Sumario:The Coronavirus (COVID-19) pandemic is disrupting the world. Employing an event study, we find cross-country evidence that stock markets all significantly react to COVID-19, but with different speeds, strengths and directions. Moreover, reactions to COVID-19 also vary across quantile levels of return distributions in any given country, by using a augmented quantile auto-regression approach. US (Indian) markets generally show overreaction (underreaction), while Stock markets in Australia, Germany, Japan and UK overreact to the pandemic when quantile returns are below the median.

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