Stock Return and the COVID-19 pandemic: Evidence from Canada and the US

We investigate the dynamic responses of stock return to the unexpected changes in the COVID-19 cases and the uncertainty associated with the pandemic. Using daily data from Canada and the US, we find there is a negative effect of an increase in the COVID-19 cases on the stock market in general. Moreover, the stock return responses are asymmetric in the increase and decrease in the cases in Canada. The asymmetry is caused by the negative impact of uncertainty about the pandemic. We also find that uncertainty adversely affects the US stock market. However, the magnitude is small.