COVID-19 Effects on the US Stock Index Returns: An Event Study Approach

33 Pages Posted: 27 May 2020

See all articles by Emon Kalyan Chowdhury

Emon Kalyan Chowdhury

Chittagong Independent University; Department of Accounting

Mohammad Zoynul Abedin

Hajee Mohammad Danesh Science and Technology University; Dalian Maritime University

Date Written: May 27, 2020

Abstract

This paper aims to measure the impact of COVID-19 pandemic on the US stock market.It applies Generalized Autoregressive Conditional Heteroskedasticity (GARCH), Vector Autoregressive (VAR) and Event study Method (ESM) models. The ESM follows three different timelines, such as pre-event, event-day, post-event windows. Data comes from the major US stock indices. We find that the US stock market reacts negatively toward confirmed and death cases due to COVID-19, while death cases have a significant impact on stock market volatility. This study bridges the research gap and adds significant insights to the existing literature.

Keywords: COVID-19, US stock market, GARCH, VAR, Event Study

Suggested Citation

Chowdhury, Emon Kalyan and Abedin, Mohammad Zoynul, COVID-19 Effects on the US Stock Index Returns: An Event Study Approach (May 27, 2020). Available at SSRN: https://ssrn.com/abstract=3611683 or http://dx.doi.org/10.2139/ssrn.3611683

Emon Kalyan Chowdhury

Chittagong Independent University ( email )

Minhaj Complex
12, Jamal Khan Road
Chittagong
Bangladesh

Department of Accounting ( email )

Chittagong
Bangladesh
+880-1717887424 (Phone)

Mohammad Zoynul Abedin (Contact Author)

Hajee Mohammad Danesh Science and Technology University ( email )

Dinajpur Hwy
Basherhat Dhaka, 5200
Bangladesh

Dalian Maritime University ( email )

1 Linghai Road
Dalian, 116026
China

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