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

18 Pages Posted: 28 Apr 2020

See all articles by Kim J. Heyden

Kim J. Heyden

Justus Liebig University Giessen

Thomas Heyden

Justus Liebig University Giessen

Date Written: April 28, 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 negative 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

JEL Classification: G14, G18, E50

Suggested Citation

Heyden, Kim J. and Heyden, Thomas, Market Reactions to the Arrival and Containment of COVID-19: An Event Study (April 28, 2020). 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)

Justus Liebig University Giessen ( email )

Licher Str. 64
35394
Germany

HOME PAGE: http://www.uni-giessen.de/fbz/fb02/fb/professuren/bwl/bannier/team/heyden

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