Idiosyncratic and Systematic Shocks of COVID-19 Pandemic on Financial Markets

13 Pages Posted: 15 Apr 2020

See all articles by Iuliia Naidenova

Iuliia Naidenova

National Research University Higher School of Economics

Petr Parshakov

National Research University Higher School of Economics

Elena Shakina

National Research University Higher School of Economics

Date Written: April 13, 2020

Abstract

This study is discovering the impact of idiosyncratic and systematic shocks of COVID-19 pandemic on financial markets. Under a condition when the application of a conventional event-study is limited due to a high frequency of negative news – we suggest brute-force search to identify those announcements which appear to be virtually impactful. Having chosen 22 countries with predominantly different initial conditions and anti-pandemic policies adopted we would expect high diversity of market reactions. However, our findings say that systematic shocks are consistently harmful. Idiosyncratic shocks are more important for the beginning of the deteriorating of the epidemiological situation in a particular country.

Keywords: COVID-19, pandemic, market reaction, event study

JEL Classification: G14, I15

Suggested Citation

Naidenova, Iuliia and Parshakov, Petr and Shakina, Elena, Idiosyncratic and Systematic Shocks of COVID-19 Pandemic on Financial Markets (April 13, 2020). Available at SSRN: https://ssrn.com/abstract=3574774 or http://dx.doi.org/10.2139/ssrn.3574774

Iuliia Naidenova

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Petr Parshakov (Contact Author)

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Elena Shakina

National Research University Higher School of Economics ( email )

Studencheskaya str., 38
Perm, Perm krai 614070
Russia

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