Market Reactions to the Arrival and Containment of COVID-19: An Event Study

1 Pages Posted: 28 Apr 2020 Last revised: 4 Sep 2020

See all articles by Kim J. Heyden

Kim J. Heyden

Justus Liebig University Giessen

Thomas Heyden

Bain & Company - Bain & Company Germany Inc.

Date Written: August 4, 2020

Abstract

We study the short-term market reactions of US and European stocks during the beginning of the COVID-19 pandemic. Employing an event study, we document that stocks react significantly negatively to the announcement of the first death in a given country. While our results suggest that the announcements of country-specific fiscal policy measures negatively affect stock returns, monetary policy measures have the potential to calm markets. These reactions are either intensified or lessened by firm-specific characteristics such as tangible assets, liquidity, and institutional holdings.

Keywords: Market Efficiency, Coronavirus, COVID-19, Event Study, Policy Response, Crisis Stock Market

JEL Classification: G14, G18, E50, E52, E62

Suggested Citation

Heyden, Kim J. and Heyden, Thomas, Market Reactions to the Arrival and Containment of COVID-19: An Event Study (August 4, 2020). Finance Research Letters, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3587497 or http://dx.doi.org/10.2139/ssrn.3587497

Kim J. Heyden

Justus Liebig University Giessen ( email )

Licher Str. 64
Giessen, 35394
Germany

Thomas Heyden (Contact Author)

Bain & Company - Bain & Company Germany Inc. ( email )

Bleichstr. 14
40211 Düsseldorf
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
1,379
Abstract Views
6,636
Rank
27,093
PlumX Metrics