Original scientific paper
https://doi.org/10.1080/1331677X.2023.2264369
Covid-19 on stock market performance: evidence from Italy
Marianna Mauro
Monica Giancotti
Vito Pipitone
Riccardo Tiscini
Abstract
This paper has explored the impact of the Covid-19 pandemic on
the Italian stock market at an industry level, analysing companies
listed in the two major stock indexes: MIB 30 and STAR. Using
daily firm-level stock prices (from December 2019, until October
31, 2020), we employed an event-study approach to analyse
short-term stock market reactions, considering different pandemic
windows period. Results showed that stocks reacted negatively to
the announcement of the first case in the country, with deep
reversal effects when the country was locked down. Monetary
policy measures showed potential to ease stock markets: the
announcement of Next Generation Agreement highlights the
reversed role of Market Capitalization. Firm-specific variables were
included in order to make inferences about firm characteristics
that emerged as value drivers during the pandemic: in the first
lockdown period, a greater company’s capitalization ensured a
greater resilience to the Covid-19 shock. Reversals at both an
industry and a company level are observed. Results allow to
understand how an outbreak of contagious disease affects stock
returns in various sectors, helping investors to develop trading
strategies to protect their wealth from future epidemics and providing
inputs into the assessment of economic vulnerability to
pandemic crises.
Keywords
Covid-19; pandemic lockdown; Italian stock market; overreaction
Hrčak ID:
315156
URI
Publication date:
13.10.2023.
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