Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2021.1948881
Do financial and non-financial stocks hedge against lockdown in Covid-19? An event study analysis
Ran Tao
Chi-Wei Su
Tanzeela Yaqoob
Mir Hammal
Sažetak
The novel Covid-19 virus has changed the dynamics of ‘flight to
safety’ investment for various economies. Thus, the hedging
ability of the stocks must be revisited in the scenario of this pandemic. For this purpose, specifically understanding the importance of a semi-strong form of an efficient market hypothesis is
important. This was to observe the speed at which the markets
react to the news announcement, and how rapidly they absorb
new information to regain thier position in the market. Hence,
this study conducts an event study analysis on Pakistan’s emerging market to detect the financial and non-financial stock price
reactions towards the lockdown announcement, following the
spread of Covid-19 in Pakistan. The daily data on the KSE-100
index for thirty different industries, comprising of ninety firms,
spanning from December 12, 2019, till June 7, 2020, was collected
and analyzed. The abnormal returns were recorded to be at
around 21 [10. þ10] and 41 days [20, þ20] event window,
around the day of the lockdown announcement. These abnormal
returns were obtained through the market model regression. The
data collected implied that most of the industries were stable and
behaved well before the event day, while the affected sectors
recovered fairly quickly. Therefore, it has been affirmed that
Pakistan’s equity portfolios are informationally efficient, and can
benefit the investors during a pandemic.
Ključne riječi
Covid-19; event study analysis; efficient market hypothesis; diagnostic tests; market model; emerging country
Hrčak ID:
302279
URI
Datum izdavanja:
31.3.2023.
Posjeta: 399 *