COVID-19: Stock Market Reactions to the Shock and the Stimulus

14 Pages Posted: 9 Jun 2020

See all articles by Maretno A. Harjoto

Maretno A. Harjoto

Pepperdine University - Pepperdine Graziadio Business School (PGBS)

Fabrizio Rossi

University of Cassino and Southern Lazio

John Paglia

Pepperdine University - Graziadio School of Business and Management

Date Written: May 31, 2020

Abstract

Using the WHO announcement on March 11, 2020 and the Federal Reserve Bank announcement on April 9, 2020 as two events that represent the shock and the stimulus, this study finds that COVID-19 caused a negative shock to the global stock markets, especially in emerging markets and for small firms. We find that the US stock market experienced positive abnormal returns from the Fed stimulus compared to other developed countries and emerging markets. We find that the positive abnormal returns from the stimulus were garnered by the US large firms instead of the small firms.

Keywords: COVID-19, Event Study, Stimulus, Emerging Markets, Small Firms

JEL Classification: G14, G15, G18

Suggested Citation

Harjoto, Maretno Agus and Rossi, Fabrizio and Paglia, John, COVID-19: Stock Market Reactions to the Shock and the Stimulus (May 31, 2020). Available at SSRN: https://ssrn.com/abstract=3622899 or http://dx.doi.org/10.2139/ssrn.3622899

Maretno Agus Harjoto (Contact Author)

Pepperdine University - Pepperdine Graziadio Business School (PGBS) ( email )

Drescher Campus Suite 344
24255 Pacific Coast Highway
Malibu, CA 90263
United States
(310) 506-8542 (Phone)
(310) 506-4126 (Fax)

HOME PAGE: http://scholar.google.com/citations?hl=en&user=9-PfQi0AAAAJ

Fabrizio Rossi

University of Cassino and Southern Lazio ( email )

Via G. Di Biasio, 43
Cassino, Frosinone 03043
Italy

John Paglia

Pepperdine University - Graziadio School of Business and Management ( email )

Malibu, CA
United States

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