Stock Market Response during COVID-19 Lockdown Period in India: An Event Study

Alam, Mohammad Noor; Alam, Md. Shabbir; Chavali, Kavita

doi:10.13106/jafeb.2020.vol7.no7.131

Cited by 147 publications

(148 citation statements)

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“…Historical decomposition of the S&P 500 Index further suggests that the negative effect of COVID-19 cases in the U.S. on the S&P 500 Index have been mostly observed during March 2020. Alam et al (2020) investigates the impact COVID-19 to the stock market of India from February 24 to April 17, 2020. The results confirm that the market reacted positively with significantly positive Average Abnormal Returns (AAR) during the lockdown period.…”

Section: Covid-19 Impact On Stock Marketsmentioning

confidence: 99%

The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel

Camba¹,

Camba²

2020

JAFEB

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This paper examines the effect of COVID-19 pandemic on the Philippine stock exchange, peso-dollar rate and retail price of diesel using robust least squares regression and vector autoregression (VAR). The robust least squares regression using MM-estimation method concluded that COVID-19 daily infection has negative and statistically significant effect on the Philippine stock exchange index, pesodollar exchange rate and retail pump price of diesel. This is consistent with the results of correlation diagnostics. As for the VAR model, the lag values of the independent variable disclose significance in explaining the Philippine stock exchange index, peso-dollar exchange rate and retail pump price of diesel. Moreover, in the short run, the impulse response function confirmed relative effect of COVID-19 daily infections and the variance decomposition divulge that COVID-19 daily infections have accounted for only minor portion in explaining fluctuations of the Philippine stock exchange index, peso-dollar exchange and retail pump price of diesel. In the long term, the influence levels off. The Granger causality test suggests that COVID-19 daily infections cause changes in the Philippine stock exchange index and peso-dollar exchange rate in the short run. However, COVID-19 infection has no causal link with retail pump price of diesel.

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Section: Covid-19 Impact On Stock Marketsmentioning

confidence: 99%

The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel

Camba¹,

Camba²

2020

JAFEB

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“…The results of the One-Sample T-Test can be seen on the following page: 2, the announcement of Covid-19 patients that occurred on March 9, 2020, there were 2 positive AARs, 9 negative AARs, and most of them were significant. As said by Sansa [10], Alam et al [11]], He et al [12], Ashraf [13]], Liu et all [14], Khanthavit [15], and Heyden & Heyden [16] that pandemic events Covid-19 is negative news which causes the market index to fall and results in the negative abnormal return value. The existence of AAR is positive at t-5 and t-4 and it is significant the market has not responded to the Covid-19 pandemic because before t-0 Covid-19 patients in Indonesia were still confirmed to be under five cases except for t-1 which had six cases.…”

Section: Discussion (One-sample T-test Results Against the Calculation Of Average Abnormal Return (Aar)mentioning

confidence: 99%

“…Previous research related to event studies has begun to be carried out in many countries. Research conducted in countries other than Indonesia was conducted by Sansa [10], Alam et al [11], He et al [12], Ashraf [13], Liu et al [14], Khanthavit [15], and Heyden & Heyden [16]. Meanwhile in Indonesia, the analysis of the capital market reaction to the Covid-19 pandemic and using an event study was conducted by Nurmasari [5].…”

Section: Fig 2 Development Of Lq-45 During the Event Periodmentioning

confidence: 99%

“…The results of their research show that the Covid-19 Pandemic had a significant impact on the capital markets of China and the USA in the period March 1, 2020, to March 25, 2020. Furthermore, Alam et al [11]] conducted research on the reaction of the Indian capital market to the announcement of the lockdown policy caused by the Covid-19 pandemic. The research technique used is an event study that analyzes 31 companies that are members of the Bombay Stock Exchange (BSE) index.…”

Section: Select a Sample Of Companies To Be Analyzed 4 Elimination Of Annoying Events That Can Reduce The Accuracy Of The Analysis 5 Detementioning

confidence: 99%

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Analysis of Indonesian Capital Market Reaction to the Covid-19

Yulianti¹,

Siregar²

2020

Proceedings of the International Conference on Environmental and Technology of Law, Business and Education on Post Covid 19, IC

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This study analyzes the reaction of the Indonesian capital market to the Covid-19 incident by using the Liquid-45 market index . The method used to analyze abnormal returns is the event study method. The research period used is 111 stock exchange days consisting of an estimation period and a window period. The results showed that during the Covid-19 pandemic, the Indonesian capital market was said to be efficient in a half-strong form both in information and decisions. Information efficiency means that the market responds quickly and efficiently in a decision meaning that the market responds appropriately. The negative and significant Average Abnormal Return also reflects the Covid-19 Pandemic has had a negative impact on the Indonesian capital market.

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“…A cluster of cases of pneumonia of unknown cause in Wuhan, China, was first reported on December 31, 2019, and a week later identified as COVID-19 (Chen et al, 2020). On March 11, the World Health Organization (WHO) declared COVID-19 a pandemic (Alam et al, 2020;Khan et al, 2020;Khanthavit, 2020). What started as an outbreak in China has now developed internationally.…”

Section: Introductionmentioning

confidence: 99%

The Effects of Restrictions in Economic Activity on the Spread of COVID-19 in the Philippines: Insights from Apple and Google Mobility Indicators

Camba¹,

Camba²

2020

JAFEB

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This study aims to investigate the effects of restrictions in economic activity on the spread of COVID-19 in the Philippines. This research employs daily time-series data of confirmed new COVID-19 cases, Apple mobility trends (i.e., use of public transport to destinations, volume of people driving, and amount of walking to destinations) and Google community mobility (i.e., visits to transit stations, visits to workplaces, and staying-at-home) indicators covering the period February 17 to September 11, 2020. The analysis starts by establishing the correlation pattern of new confirmed COVID-19 daily infections to each independent variable. The results show negative linear correlation of the number of new COVID-19 daily infections with less visit to transit station, increase stay-at-home, less use of public transport, and less amount of walking to destinations. Interestingly, the number of new COVID-19 daily infections indicates some form of positive linear correlation with visits to workplaces and volume of people driving. Moreover, employing robust least square regression via the method of MM-estimation, major findings reveal that across mobility measures, staying-at-home has the highest impact on reducing the spread of COVID-19, followed by visiting transit stations less, less use of public transport, less amount of walking, and less workplace visits.

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Stock Market Response during COVID-19 Lockdown Period in India: An Event Study

Cited by 147 publications

References 0 publications

The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel

The Effect of COVID-19 Pandemic on the Philippine Stock Exchange, Peso-Dollar Rate and Retail Price of Diesel

Analysis of Indonesian Capital Market Reaction to the Covid-19

The Effects of Restrictions in Economic Activity on the Spread of COVID-19 in the Philippines: Insights from Apple and Google Mobility Indicators

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