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International Journal of Economics and Business Administration
Volume VIII, Issue 4, 2020
pp. 505-514
The Impact of COVID-19 Pandemic on Global Stock Markets:
An Event Study
Submitted 18/07/20, 1st revision 20/08/20, 2nd revision 11/09/20, accepted 10/10/20
Ibrahim N. Khatatbeh
1
, Mohammad Bani Hani1,
Mohammed N. Abu-Alfoul
2
Abstract:
Purpose: This study aims to empirically examine the immediate reaction of affected
countries' stock market indices to COVID-19.
Approach/Methodology/Design: The study applies an event study methodology using daily
data series of stock price indices.
Findings: Evidence from eleven global stock market indices shows that the first confirmed
COVID-19 case announcement has had a significant negative impact on the returns.
Moreover, these effects were more substantial following the WHO announcement of COVID-
19 as a global pandemic on March 11, 2020.
Practical Implications: The rapidly developing outbreak of the COVID-19 pandemic has
depressed the affected countries' economies and caused turmoil in global financial markets.
The results presented in this paper shed some light on the potential economic and social cost
of COVID-19 concerns policymakers and other stock market stakeholders.
Originality/value: The results suggest that stock markets have captured investors'
expectations over potential adverse economic consequences of COVID-19. Moreover, there
is evidence for an underreaction to the pandemic's announcement, as shown by the delayed
response of stock markets in terms of significant CARs. These findings leave a wish list of
topics for future research.
Keywords: COVID-19, stock markets, abnormal returns, event study.
JEL codes: G14, G15, E44.
Paper Type: Research article.
ISSN:
Acknowledgment: We thankfully acknowledge helpful comments from Professor Imad
Moosa on an earlier version of this paper.
1
Faculty of Economics and Administrative Sciences, The Hashemite University, Zarqa,
Jordan, e-mail: ibrahim.khatatbeh@hu.edu.jo
2
Faculty of Business and Law, Swinburne University of Technology, Melbourne, Australia
The Impact of COVID-19 Pandemic on Global Stock Markets: An Event Study
506
1. Introduction
The outbreak of the novel coronavirus (COVID-19) has disrupted the affected
countries' economic activities and become a real threat to the global economy and
financial markets (Barro et al., 2020; Ramelli and Wagner, 2020). Most of the
global stock markets have plunged, and international financial institutions have cut
their growth forecasts for 2020 and beyond (Boone et al., 2020). COVID-19 was
originated in Wuhan city, China, last December. Since then, the disease has spread
exponentially and infected more than 2 million persons across 210 countries (WHO,
2020).
Accordingly, the WHO announced COVID-19 as a pandemic on March 11, 2020,
(WHO, 2020). Numerous reports and policy briefs predict a horrendous impact of
the COVID-19 crisis that is comparable to or worse than the Great Depression.
Kristalina Georgieva, the managing director of the International Monetary Fund
(IMF), stated, "We anticipate the worst economic fallout since the Great
Depression" (WHO, 2020). Therefore, the unfortunate event of the COVID-19
outbreak provides an opportunity to assess the immediate impact of an unexpected
disease outbreak on the affected countries' stock markets.
The objective of this paper is to investigate the impact of the COVID-19 pandemic
on leading stock market indices for a group of the top affected countries. The sample
countries are Belgium, China, France, Germany, Italy, The Netherlands, South
Korea, Spain, Switzerland, United Kingdom, and the United States. Particularly, we
examine the stock markets' immediate reactions to the announcement of the first
confirmed case for each country. Moreover, we examine the stock market responses
to the announcement of COVID-19 as a global pandemic by the WHO. The WHO
announcement came from an increasingly widespread pandemic transmission to
more than 110 countries at that time. This declaration is unusual, implying extra
containment measures must be applied for the affected countries. Therefore, we
expect significant negative abnormal returns in global stock markets following the
WHO announcement. In addition, we are not sure whether the WHO announcement
has a greater impact on the affected countries' stock markets, compared to the
announcement of the first confirmed COVID-19 case confirmed in each country.
Our study is closely related to Nippani and Washer (2004), who examine the effects
of the SARS (severe acute respiratory syndrome CoV-1) outbreak of 2003 on stock
market indices of six affected countries by comparing these indices to the
performance of the pre-event period and the S&P 1200, using conventional t-tests
and Mann–Whitney non-parametric tests. They find limited evidence of the negative
impact of the SARS epidemic outbreak on China and Vietnam's stock market
indices. The remainder of the paper is organized as follows. The potential economic
consequences are explored in section 2. The data and methodology are presented in
section 3. The empirical results are presented and discussed in section 4. Finally, the
conclusion can be found in section 5.
I.N. Khatatbeh, M. Bani Hani, M.N. Abu-Alfoul
507
2. The Impact of COVID-19 on Stock Markets and the Economy
The COVID-19 pandemic is an unexpected shock to the global economy, with
economic destruction on an unprecedented scale (Goodell, 2020). Generally, the
COVID-19 is depressing the global economy; however, the outbreak's economic
consequences are unequally distributed throughout the economy (Bloom et al.,
2018; Guerrieri et al., 2020; Grima et al., 2020). While most industries will bear
losses due to economic disruption, some industries are expected to benefit
financially, i.e., pharmaceutical industries.
The COVID-19 pandemic has been called "the Great Lockdown," referring to the
severe containment measures enforced due to the pandemic outbreak. Several
international institutions downgraded their growth forecast due to the COVID-19
pandemic; for instance, the international monetary fund (IMF) has cut the global
growth forecast of 2020 to -3%, down by 6.3% from early year projections (IMF,
2020). Similarly, the Organisation for Economic Cooperation and Development
(OECD) expects a continued and prolonged outbreak of the coronavirus pandemic
may decrease global economic growth by 1.5% for 2020 (OECD, 2020). Moreover,
the Asian Development Bank (ADB) predicts the global cost of COVID-19
pandemic to top US$4.1 trillion, which is more than 40 times the global cost of the
SARS outbreak (2002-2003) estimates of US$ 30-100 billion (Smith, 2006)
(Thestar.com, 2020). Also, the International Labour Organization expect global
unemployment would increase by approximately 25 million (ILO, 2020)
(McKibbinand Fernando, 2020).
Bloom et al. (2018) were clairvoyant to show concerns about the potential
emergences of economically damaging pandemics—such as various influenza types
and other unknown pathogens—ahead of the COVID-19 outbreak. They list various
economic risks resulting from pandemic/epidemic outbreak, including costs to the
health system, loss to employee productivity, a decline in economic activity, a
negative impact on tourism, and a negative impact on foreign direct investment
(FDI). Many articles have considered the economic consequences of past epidemics
and pandemics on the infected countries. However, the existing literature on the
effects of epidemics and pandemics on financial markets is rather limited (Goodell,
2020). The COVID-19 pandemic comes at a larger scale—when compared to
modern history pandemics. Nobel laureate Robert Shiller describes potential
economic consequences of COVID-19 as "something we have not quite seen
before." Detrixhe (2020) emphasizes that unlike the Great Depression—which can
largely be attributed to a "pessimistic idea," the COVID-19 economic crisis results
from a shock to the real economy, causing the economic activity to slow down
deeply.
The pandemic effects could be transmitted to stock markets through several
channels. For instance, the spread of contagious diseases induces a decline of
economic activity and endures a major challenge for business profitability and
continuity in extreme situations as lockdown (Adda, 2016). Moreover, a pandemic
The Impact of COVID-19 Pandemic on Global Stock Markets: An Event Study
508
induced economic and financial shocks in one country spreads rapidly to others due
to high levels of the interconnectedness of markets due to globalization and financial
integration (Chen et al., 2018; Liu et al., 2020). Recently, Zhang et al. (2020) show
that global financial markets volatilities have increased substantially due to the
COVID-19 pandemic outbreak, and the magnitude of volatility commensurate with
the severity of the outbreak in each country (Khan et al., 2020). They report
significant increases in systemic risk between the affected countries, particularly
following the WHO announcement of COVID-19 as a global pandemic. Also, other
channels related to panic selling, profit-taking, and the search for more safe assets in
times of crises (Lucey and Li, 2014).
Stock markets have long been considered relevant in forecasting real economic
activity. Harvey (1989) argues that "the price of equity thus reflects expectations of
real activity, and changes in the value of equity partially reflect revisions in these
expectations." Thus, market participants' expectations reflected in stock prices could
provide a perspective of growth prospects, given the unprecedented uncertainty on
the COVID-19 pandemic (Gormsen and Koijen, 2020). Moreover, when an
unexpected disastrous event happens, financial investors are induced to exit the
unstable market, searching for more stable financial investments (Arin et al., 2008).
In a recent study, Ramelli and Wagner (2020) examine stock prices' reactions to the
COVID-19 event at the industry level, focusing on international supply chains. They
find that US firms with greater trading or supply chain relations with China have
experienced lower cumulative abnormal returns (CARs) following the confirmation
of the virus's human-to-human transmission on January 20, 2020. They conclude
that investors have become more concerned about the economic and financial
consequences of the COVID-19 pandemic crisis.
3. Methodological Procedures
Daily data series of stock price indices were obtained from ‘investing.com,’ which
comprise the leading stock price index for each sample country, as shown in Table
1. The data on the first confirmed COVID-19 cases are obtained from major news
websites and validated with the COVID-19 database published by the European
Centre for Disease Prevention and Control.
This study applies the standard event study methodology of Brown and Warner
(1985) to test how stock markets react to the COVID-19 pandemic outbreak. The
methodology suggested by Brown and Warner (1985) enables us to examine the
significance of the economic impact of the COVID-19 outbreak on the affected
countries' stock markets. To do this, we measure the deviation of the stock market
index from their historical average. The event study analysis is based on the
hypothesis that if the stock market index is affected by an event, the influence would
be translated into abnormal returns—as stock prices immediately adjust to the
announcement of new information (Fama et al., 1969).
I.N. Khatatbeh, M. Bani Hani, M.N. Abu-Alfoul
509
Table 1. Global Stock Market Indices Descriptive Summary
Country
Index
Stock Market Index
Close Price 31/12/2019
Close Price1
24/03/2020
Change
(%)
Belgium
BEL 20
3,955.83
2,867.59
-27.51%
China
Shanghai composite
index
3,050.12
2,722.44
-10.74%
France
CAC 40
5,978.06
4,242.70
-29.03%
Germany
DAX
13,249.01
9,700.57
-26.78%
Italy
FTSE MIB
23,506.37
16,948.60
-27.90%
Netherlands
AEX index
604.58
461.73
-23.63%
South Korea
KOSPI
2,197.67
1,609.97
-26.74%
Spain
IBEX 35
9,549.20
6,717.30
-29.66%
Switzerland
Swiss market index
10,616.94
8,733.32
-17.74%
United Kingdom
FTSE 100
7542.44
5446.01
-27.80%
United States
S&P 500
3,230.78
2,447.33
-24.25%
World Benchmark
MSCI world index
2,358.47
1,742.61
-26.11%
1 March24, 2020 is the end-date of the used sample.
Source: Own study.
Therefore, evidence of significant positive (negative) abnormal returns is expected if
the markets react to the event favorably (unfavorably). The analysis commences by
examining the reactions of the affected countries’ stock market indices to the
announcement of the first confirmed case for each country. Subsequently, we
examine these indices' reactions to the announcement of COVID-19 as a pandemic
by the WHO on March 11, 2020. The Abnormal returns ( ) for index i at day t is
calculated as in equation (1):
(1)
The actual daily returns ( ) is obtained by calculating the natural log of the price
relative as in equation (2).
) (2)
where is the close price of index i at day t, and is the close price of index i
at day t-1.I The historical average of stock indices ( ) is calculated using a 100-
day estimation windowfor the period from the day (-110) to the day (-11), where the
day (0) represents the event day—the announcement of the first confirmed COVID-
19 case for each country. In addition, we use equation (3) to calculate the cumulative
abnormal returns ( ).
(3)
The CARs of 5-days and 10-days are calculated to show further the market's ability
to rebound or further deteriorate for some trading days after the announcement day.
Finally, the t-test statistics, the ratio of the average AR (CAR) to its estimated
The Impact of COVID-19 Pandemic on Global Stock Markets: An Event Study
510
standard error, is calculated for the corresponding AR (CAR)—the null hypothesis is
that AR(CAR)in the event window is equal to zero. Therefore, a significant test
statistic implies that AR (CAR) is significant, which means that the announcement
has been priced.
4. Analysis of Results
Table 2 reports the ARs and CARs (for 5 and 10 days) following the announcement
of the first confirmed COVID-19 case(s) in each country. Of 11 major stock indices,
4 have significant negative ARs, 6 have significant negative CARs over the 5-days
and 10-days event window. Interestingly, China has insignificant ARs and
significant positive CARs following the first case confirmed on December 31, 2019;
in our view, this might be due to the limited information about the nature of the virus
and lack of containment measures applied until the lockdown of Wuhan city on
January 23, 2020—three days after the human-to-human transmission of the virus
was confirmed. To check this, we calculate AR and CARs following January 21,
2020. The results show significant negative AR, 5-days CAR, and 10-Days CAR of -
1.52%, -9.99%, and -6.69%. Hence, the lockdown protocols, which have been
applied later, have the most adverse effect on economic activity.
Table 2. Abnormal Returns (ARs) and Cumulative Abnormal Returns (CARs) of
Global Stock Markets Indices Following the Announcement of the First Confirmed
COVID-19 Cases
Country
Date of First
Confirmed
Cases
AR%
t(AR)
CAR5 %
t(CAR5)
CAR10 %
t(CAR10)
Belgium
4-Feb-20
1.27%
2.59**
2.45%
22.84***
2.06%
20.58***
China
31-Dec-19
0.31%
0.41
0.77%
3.87***
1.42%
10.47***
China¥
21-Jan-20
1.52%
2.10**
9.99%
-4.68***
-6.69%
-6.58***
France
24-Jan-20
0.77%
1.04
-3.41%
-7.15***
-0.08%
-0.22
Germany
28-Jan-20
0.75%
0.97
-0.33%
-0.59
1.49%
3.39***
Italy
31-Jan-20
2.45%
2.99**
2.05%
2.79**
2.93%
5.93***
Netherlands
28-Feb-20
3.84%
4.79***
-5.80%
-6.67***
-26.75%
-8.47***
South Korea
20-Jan-20
0.41%
0.55
-3.70%
-4.23***
-5.24%
-6.12***
Spain§
1-Feb-20
0.29%
0.39
4.05%
9.17***
5.61%
16.69***
Switzerland
26-Feb-20
0.21%
0.32
-2.84%
-3.73**
-14.71%
-9.67***
United
Kingdom
31-Jan-20
1.38%
1.95*
0.72%
1.87**
-0.40%
-1.72**
United States
21-Jan-20
0.26%
0.35
-1.60%
-3.47**
-0.93%
-2.96***
Notes:8 Repeated analysis for China (Shanghai composite index) considering January 21,
2020 as the event date. §The event date Inspain coincidence with a weekend holiday,
therefore, we take the abnormal return of the following trading day. CAR5 and CAR10 refer
to 5-days CAR and 10-days CAR, respectively. The asterisks ***, **, * indicate significant
test statistics at the 1%, 5%, 10% levels, respectively.
Source: Own study.
Table 2 reports the ARs and CARs (for 5 and 10 days) following the announcement
of the first confirmed COVID-19 case(s) in each country. Of 11 major stock indices,
4 have significant negative ARs, 6 have significant negative CARs over the 5-days
and 10-days event window. Interestingly, China has insignificant ARs and
I.N. Khatatbeh, M. Bani Hani, M.N. Abu-Alfoul
511
significant positive CARs following the first case confirmed on December 31, 2019;
in our view, this might be due to the limited information about the nature of the virus
and lack of containment measures applied until the lockdown of Wuhan city on
January 23, 2020—three days after the human-to-human transmission of the virus
was confirmed. To check this, we calculate AR and CARs following January 21,
2020. The results show significant negative AR, 5-days CAR, and 10-Days CAR of -
1.52%, -9.99%, and -6.69%. Hence, the lockdown protocols, which have been
applied later, have the most adverse effect on economic activity.
Some stock markets have shown delayed response to the event, as revealed by
insignificant ARs and significant negative CARs (i.e., France, South Korea,
Switzerland, and the United States). This is to be taken as evidence for initial
underreaction to the pandemic outbreak. Moreover, some distinctive patterns emerge
for the remaining countries. For example, Belgium shows an underreaction to the
first case's announcement, as shown by the positive AR and CARs; nevertheless, it
has one of the highest and abnormal losses and cumulative abnormal loss following
the WHO announcement.
Table 3. Abnormal Returns (ARs) and Cumulative Abnormal Returns (CARs) of
Global Stock Markets Indices Following the WHO Announcemnt
Country
WHO
Announ
cement
Date
Number of
Days since
the first case
confirmed
AR %
t(AR)
CAR5
%
t(CA
R5)
CAR10
%
t(CAR1
0)
Belgium
March
11,
2020
36
-4.05%
-7.58
***
-20.31%
-10.16
***
-14.69%
-9.92
***
China
71
-0.97%
-1.26
-9.48%
-7.34
***
-7.66%
-8.24
***
France
47
-0.66%
-0.8
-21.66%
-12.92
***
-5.55%
-3.68
***
Germany
43
-0.50%
-0.65
-22.49%
-13.07
***
-7.58%
-4.89
***
Italy
40
0.19%
0.23
-17.55%
-14.20
***
-5.11%
-3.47
***
Netherlands
12
-0.20%
-0.25
-18.73%
-14.05
***
-2.93%
-2.01
**
South Korea
51
-2.94%
-3.81
***
-21.71%
-
8.63*
**
-15.40%
-6.37
***
Spain
39
-0.44%
-0.59
-17.94%
-12.49
***
-8.35%
-7.21
***
Switzerland
14
-0.58%
-0.88
-10.43%
-20.04
***
-3.46%
-3.64
***
United
Kingdom
40
-1.48%
-2.10**
-16.39%
-16.43
***
-5.44%
-4.65
***
United States
50
-5.01%
-6.73
***
-18.37%
-7.96
***
-15.18%
-9.20
***
MSCI World
Index
-
-3.97%
-6.52
***
-18.35%
-6.18
***
-13.81%
11.84
***
Notes: CAR5 and CAR10 refer to 5-days CAR and 10-days CAR, respectively. The asterisks
***, **, * indicate significant test statistics at the 1%, 5%, 10% levels, respectively.
Source: Own study.
The Impact of COVID-19 Pandemic on Global Stock Markets: An Event Study
512
Moreover, the United Kingdom shows a volatile reaction to the announcement of
COVID-19, as shown by the negative AR, positive 5-day CAR, and lastly, negative
10-day CAR. Besides, Germany shows significant positive CAR on the 10-day
window, whereas Italy and Spain show positive CARs on the 5- and 10-day event
windows. Similarly, the results of the ARs and CARs, following the announcement
of COVID-19 as a global pandemic disease by the WHO, are shown in Table 3. It
reveals that almost half of the sample countries experienced significant negative ARs
on the event date. Subsequently, all countries experienced significant 5- and 10-
days CARs.
The results presented in Tables 2 and 3 suggest a delay in some stock market initial
reaction to the first confirmed COVID-19 cases and the WHO announcements. The
literature suggests several plausible explanations for the variation of stock market
reaction to the pandemic outbreak:
1. Differences in market efficiency; Ramiah et al. (2012) theorize that stock
markets would react "more leisurely" to announcements, in contrast to the
efficient market hypothesis, positing that markets should instantaneously
reflect all available information.
2. The investor's confidence in institutional infrastructure; Johnston and
Nedelescu (2006) argue that differences in the magnitude and significance
of the results might be attributed to the individual countries' authorities'
responses to the pandemic investors' "trust" in their institutions' actions.
3. Ru et al. (2020) find that the countries that did not experience SARS in 2003
tended to underreact to the COVID-19 outbreak's announcement.
4. Some behavioral explanations suggest that delayed response may be
attributed to behavioral anomalies such as disposition and mean reversion
(Hirshlefier, 2015; Frazzini, 2006; Barberis et al.,1998).
The CARs of global stock markets reported in Table 3, following the WHO
announcement, are generally more negative than their comparable values in Table 2.
A comparison of the the10-day CARs for the sample countries are exhibited in
Figure 1. Remarkably, countries with the highest 10-day CAR are located in Europe.
This goes in line with the excessive pessimistic sentiment of European investors. For
instance, a recent survey by the world economic forum—assessing opinions from 74
experts (from the United States and Europe)— shows that 62% of US exports and
82% of European experts expect a coronavirus-driven recession.
Overall, the evidence presented in this paper suggests that global stock markets have
correctly anticipated the COVID-19 disastrous impact, as shown by the significant
negative ARs and CARs, particularly following the WHO announcement. Moreover,
these results are consistent with the journalistic and formal reports' tremendous
negative sentiment, which proclaim the devastating consequences of COVID-19 on
the global economy.
I.N. Khatatbeh, M. Bani Hani, M.N. Abu-Alfoul
513
Figure 1. 10-Days CARs Following the First Confirmed Case and the WHO
announcements.
Source: Own study.
5. Conclusion
This paper provides empirical evidence on the immediate reactions of global stock
markets to the unexpected outbreak of COVID-19 global pandemic, using an event
study methodology. While it is too early to be certain of the pandemic effects, the
results suggest that stock markets have captured investors’ expectations over
potential adverse economic consequences of COVID-19. Moreover, there is
evidence for an underreaction to the pandemic's announcement, as shown by the
delayed response of stock markets in terms of significant CARs. The findings of this
paper leave a wish list of topics for future research. For instance, it would be
worthwhile to investigate the pandemic's effect at a sectoral level for the affected
countries—as the impact of the pandemic is unequally distributed (positively and
negatively) across sectors (Bloom et al., 2018; Guerrieri et al., 2020). Moreover, it
may be useful to examine whether the collapse of global stock markets results from
contagion or local factors (e.g., COVID-19 outcomes: confirmed cases and deaths).
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