Stock market response to COVID-19 pandemic: A comparative evidence from two emerging markets

Tetteh, Joseph Emmanuel; Amoah, Anthony; Ofori‐Boateng, Kenneth; Hughes, George

doi:10.1016/j.sciaf.2022.e01300

Cited by 16 publications

(8 citation statements)

References 47 publications

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“…Meanwhile, the markets in the consumer staple, information technology, and utility sectors reacted positively to the announcement of monetary policy. This was in line with J. E. Tetteh and others [36], where the government's policy response (fiscal and monetary) aided organizational sustainability during the pandemic. K. J. Heyden et al [3] also showed that monetary policy was the government's step in handling the market.…”

Section: Stock Market Reaction To Covid-19 and Policy Response In Var...supporting

confidence: 86%

Market Reaction to COVID-19 and Policy Response Across Different Sectors: An Event Study on ASEAN Stock Market

Lesmana,

Yudaruddin

2024

jour

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The purpose of the study is to investigate the market reaction to COVID-19 and the policy response in the ASEAN stock market. The subjects of this study are companies located in ASEAN countries (Indonesia, Malaysia, Thailand, the Philippines, and Vietnam) as many as 2349 companies. The basic methodology of this research uses the event study method using CAR (Cumulative Abnormal Return) as a measure of market reaction. We also regressed the effect of firm characteristics (SIZE, ROA, LEV, CASH, AGE) on market reaction. According to the paper’s results, the ASEAN stock market reacted negatively to the announcement of COVID-19 cases and deaths. In this condition, the markets in Malaysia, the Philippines, and Vietnam had the worst reactions to the pandemic outbreak. Moreover, the market negatively reacted to the policy response emphasizing the spread of this disease. We also find that several sectors also provided a negative reaction to COVID-19 and the policy response in the ASEAN stock market. In addition, the company’s characteristics significantly influenced the encouragement of market reactions to the pandemic and regulations. Practical implications were provided for policymakers regarding the need to consider market conditions in interventions in the spread of the health crisis. Investors should also consider the characteristics involved in handling the COVID-19 pandemic.

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Section: Stock Market Reaction To Covid-19 and Policy Response In Var...supporting

confidence: 86%

Market Reaction to COVID-19 and Policy Response Across Different Sectors: An Event Study on ASEAN Stock Market

Lesmana,

Yudaruddin

2024

jour

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“…Ncube et al (2023) assert that stocks in sub-Saharan African markets appear more responsive to government measures than to the pandemic itself. Tetteh et al (2022)reinforce this notion, emphasizing the need for fiscal and monetary policies to support firms and build robust stock markets resilient to external shocks.…”

Section: Covid-19 and Stock Market Performancementioning

confidence: 99%

Application of Explainable Artificial Intelligence to model the influence of firm-specific factors on stock performance in sub-Saharan Africa during COVID-19.

Ncube,

Sibanda,

Matenda

2024

Preprint

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The COVID-19 pandemic has brought forth a novel and challenging investment environment for stock markets in both developed and emerging economies. This study delves into the under-researched field of factor investing, analysing the influence of firm-specific factors on stock performance in sub-Saharan Africa during the pandemic in four selected stock exchanges. Using explainable artificial intelligence (XAI), we analysed the cross-sectional data of firms listed on these exchanges in both the pre-pandemic and pandemic periods to identify the key factors driving stock returns. Our findings reveal that quality factors such as high profitability and low leverage emerged as the dominant drivers of resilience during the pandemic. This contrasts with the pre-pandemic scenario, where traditional factors, such as size, momentum, and value, were the primary determinants. We also find that during the pandemic, small-cap stocks generally outperformed large-cap stocks on larger stock exchanges, whereas large-cap stocks outperformed on smaller stock exchanges. The pandemic also ushered in a shift in the norm, as we found that highly volatile stocks outperformed low-volatility stocks and stocks classified as winners in the pre-pandemic period experienced a momentum crash. Further analysis explores the potential of factor-based portfolios. We demonstrate that portfolios constructed based on the identified key factors consistently outperform their market-cap weighted counterparts across all exchanges, both pre- and post-pandemic. This research highlights the importance of focusing on firm-specific factors to construct more resilient investment portfolios and potentially attain superior returns, even during times of economic turbulence.

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“…In addition to single-country analyses, researchers have conducted comparative studies to identify disparities in market reactions across countries. Tetteh et al [ 23 ] conducted a comparative study of Ghana and Botswana, which yielded a nuanced understanding of the differing impacts on these two African countries. Meanwhile, Ganie et al [ 24 ] expanded the scope of their analysis comparing stock market reactions in the United States, Brazil, India, Russia, Mexico, and Spain, thus providing a broader perspective on the pandemic’s financial ramifications.…”

Section: Literature Reviewmentioning

confidence: 99%

Analyzing the varied impact of COVID-19 on stock markets: A comparative study of low- and high-infection-rate countries

Teitler Regev,

Tavor

2024

PLoS ONE

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The global health crisis initiated by the COVID-19 pandemic triggered unparalleled economic upheavals. In this comprehensive study of 16 countries categorized by their infection rates, we scrutinize the impact of a range of variables on stock market indices and calculate four critical ratios derived from those variables. Our regression analyses reveal striking differences in how the variables influenced stock indices in countries with low and high infection rates. Notably, in countries with low infection rates, all variables exhibited significant effects on stock returns. An increase in infection numbers and fatalities correlated with greater stock market declines, underscoring the market’s sensitivity to the health and economic risks posed by the pandemic. Recovery and testing rates also displayed positive associations with stock returns, reflecting investor optimism concerning potential recovery scenarios. Conversely, nations grappling with high infection rates experienced notably weaker effects from these variables. Although fatalities had a negative impact on stock indices, other factors, including recoveries, infections, and testing rates, did not result in significant effects. This suggests the likelihood that markets in high-infection countries had likely factored pandemic conditions into their pricing, thereby reducing the immediate impact of these metrics on stock returns. Our findings underscore the intricacies of the COVID-19 pandemic’s impact on stock markets and highlight the importance of tailored strategies and policies for distinct country categories. This study offers valuable insights for policymakers and investors navigating financial markets during global health crises and preparing for future epidemics.

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Stock market response to COVID-19 pandemic: A comparative evidence from two emerging markets

Cited by 16 publications

References 47 publications

Market Reaction to COVID-19 and Policy Response Across Different Sectors: An Event Study on ASEAN Stock Market

Market Reaction to COVID-19 and Policy Response Across Different Sectors: An Event Study on ASEAN Stock Market

Application of Explainable Artificial Intelligence to model the influence of firm-specific factors on stock performance in sub-Saharan Africa during COVID-19.

Analyzing the varied impact of COVID-19 on stock markets: A comparative study of low- and high-infection-rate countries

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