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

Keywords

Stock Returns
Coronavirus Disease (COVID-19)
Friday Effect

How to Cite

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

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.  

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.

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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

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