A Coronavirus Outbreak and Sector Stock Returns: The Tale from The First Ten Weeks of 2020

Abstract

This paper examines early impacts of COVID-19 outbreak on stock returns of 11 sectors using the firm-level stock price data from 10 countries. Results show that investors across sectors and countries respond differently during the outbreak. Across the 11 sectors, Communication Services, Consumer Staples, Health Care, Information Technology, and Utilities are consistently doing relatively well, compared to other sectors, in all countries except Italy, Japan, and U.S. On the contrary, Energy sector suffers greatest abnormal negative returns, among all sectors, in countries including Canada, Italy, U.K., and U.S. Furthermore, Japan and U.S. have the highest numbers of abnormally and negatively affected sectors.

Keywords: Coronavirus, COVID-19, event study, industry stock returns, sector stock returns

JEL Classification: G14