Death Infectious: Impact of the Coronavirus Disease (COVID-19) on Stock Returns

Authors

  • Robin Robin Universitas Internasional Batam

DOI:

https://doi.org/10.14414/jebav.v24i1.2574

Keywords:

Stock Returns, Coronavirus Disease (COVID-19), Friday Effect

Abstract

This study examines the Coronavirus disease (COVID-19) on stock returns. The independent variables are daily new deaths and daily new cases. The sample that uses in this study is financial sector, one of the most crucial sectors in an economy. Total sample is 22,930 observations during the period from March to December in 2020. This study uses unbalanced panel data and multiple regression to prove those hypotheses. The result shows that the Coronavirus disease (COVID-19) hurt on stock returns. Investors feel anxious and frightened to hear the news regarding the increasing number of deaths and the number of new cases. Investors prefer to delay investment until the capital market returns to normal. Furthermore, during the pandemic period, Friday's effect may reduce losses from stock returns. The implication of this study is that an increase in the number of deaths and the number of new cases can reduce stock returns. The government needs to suppress bad news circulating in the mass media in order to reduce investor anxiety.  

Author Biography

Robin Robin, Universitas Internasional Batam

Graduate Program in Management

References

Al-Awadhi, A. M., Alsaifi, K., Al-Awadhi, A., & Alhammadi, S. (2020). Death and contagious infectious diseases: Impact of the COVID-19 virus on stock market returns. Journal of Behavioral and Experimental Finance, 27, 100326.

Al Nasser, O. M., & Hajilee, M. (2016). Integration of emerging stock markets with global stock markets. Research in International Business and Finance, 36, 1–12.

Baltagi, B. H. (2021). Econometric Analysis of Panel Data. Springers. https://www.google.co.id/books/edition/_/j_yUzQEACAAJ?hl=en&sa=X&ved=2ahUKEwiGov2_5NfwAhVTWysKHbBxCYsQre8FMBd6BAgiECA

Birru, J. (2018). Day of the week and the cross-section of returns. Journal of Financial Economics, 130(1), 182–214.

Bourdeau-Brien, M., & Kryzanowski, L. (2017). The impact of natural disasters on the stock returns and volatilities of local firms. Quarterly Review of Economics and Finance, 63, 259–270.

Chen, C.-D., Chen, C.-C., Tang, W.-W., & Huang, B.-Y. (2009). The Positive and Negative Impacts of the Sars Outbreak: A Case of the Taiwan Industries. The Journal of Develomping Areas, 43(1), 281–293.

Chiah, M., & Zhong, A. (2019). Day-of-the-week effect in anomaly returns: International evidence. Economics Letters, 182, 90–92.

Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34(8), 1911–1921.

Derbali, A., & Hallara, S. (2016). Day-of-the-week effect on the Tunisian stock market return and volatility. Cogent Business and Management, 3(1), 1147111.

Devi, S., Warasniasih, N. M. S., & Masdiantini, P. R. (2020). The Impact of COVID-19 Pandemic on the Financial Performance of Firms on the Indonesia Stock Exchange. Journal of Economics, Business, & Accountancy Ventura, 23(2), 226-242

Gbeda, J. M., & Peprah, J. A. (2018). Day of the week effect and stock market volatility in Ghana and Nairobi stock exchanges. Journal of Economics and Finance, 42(4), 727–745.

Hale, T., Angrist, N., Cameron-Blake, E., Hallas, L., Kira, B., Majumdar, S., Petherick, A., Phillips, T., Tatlow, H., & Webster, S. (2020). Variation in government responses to COVID-19. www.bsg.ox.ac.uk/covidtracker

Hartomo, G. (2018). Gubernur BI Beberkan 3 Penyebab Ekonomi Global “Berguncang.†Okefinance. https://economy.okezone.com/read/2018/06/04/20/1906489/gubernur-bi-beberkan-3-penyebab-ekonomi-global-berguncang

Heston, S. L., & Ranjan Sinha, N. (2017). News vs. sentiment: Predicting stock returns from news stories. Financial Analysts Journal, 73(3), 67–83.

Hsiao, C. (2014). Analysis of Panel Data. Cambridge University Press. https://www.google.co.id/books/edition/Analysis_of_Panel_Data/7LIkBQAAQBAJ?hl=en&gbpv=1&dq=Analysis+of+panel+data&printsec=frontcover

Ichev, R., & MarinÄ, M. (2018). Stock prices and geographic proximity of information: Evidence from the Ebola outbreak. International Review of Financial Analysis, 56, 153–166.

Kowalewski, O., & Åšpiewanowski, P. (2020). Stock market response to potash mine disasters. Journal of Commodity Markets, 20, 100124.

Li, K. (2018). Reaction to news in the Chinese stock market: A study on Xiong’an New Area Strategy. Journal of Behavioral and Experimental Finance, 19, 36–38.

Mazur, M., Dang, M., & Vega, M. (2021). COVID-19 and the march 2020 stock market crash. Evidence from S&P1500. Finance Research Letters, 38, 101690.

Miskolczi, P. (2017). Note on simple and logarithmic return. Applied Studies in Agribusiness and Commerce, 11(1–2), 127–136.

Narayan, P. K., Gong, Q., & Ahmed, H. J. A. (2021). Is there a pattern in how COVID-19 has affected Australia’s stock returns?. Applied Economics Letters, 1-4.

Narayan, P. K., Phan, D. H. B., & Liu, G. (2021). COVID-19 lockdowns, stimulus packages, travel bans, and stock returns. Finance Research Letters, 38, 101732.

Neaime, S. (2012). The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets. Emerging Markets Review, 13(3), 268–282.

Nippani, S., & Washer, K. M. (2004). SARS: A non-event for affected countries’ stock markets? Applied Financial Economics, 14(15), 1105–1110.

Xu, L. (2021). Stock Return and the COVID-19 pandemic: Evidence from Canada and the US. Finance Research Letters, 38, 101872.

Downloads

Published

2021-08-19

How to Cite

Robin, R. (2021). Death Infectious: Impact of the Coronavirus Disease (COVID-19) on Stock Returns. Journal of Economics, Business, and Accountancy Ventura, 24(1), 95–104. https://doi.org/10.14414/jebav.v24i1.2574