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COVID-19 Pandemic and firm-level dynamics in the USA, UK, Europe, and Japan

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  • Ahmad, Wasim
  • Kutan, Ali M.
  • Chahal, Rishman Jot Kaur
  • Kattumuri, Ruth

Abstract

This paper examines the impact of the coronavirus pandemic during its first and second waves for the USA, UK, Europe, and Japan. We explore the firm-level dynamics and exhibit the impact of coronavirus events on large and small firms and firms' idiosyncratic risk. We find that the intensity of the impact of the coronavirus pandemic events is not uniform for firms. The Blank Swan events in March 2020 exhibit stronger impact the second wave till April 2021. The second wave analysis reveals the sign of recovery and receding effect of the pandemic. The idiosyncratic analysis shows the positive impact of the coronavirus and stringency measures on the idiosyncratic risk.

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  • Ahmad, Wasim & Kutan, Ali M. & Chahal, Rishman Jot Kaur & Kattumuri, Ruth, 2021. "COVID-19 Pandemic and firm-level dynamics in the USA, UK, Europe, and Japan," International Review of Financial Analysis, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002155
    DOI: 10.1016/j.irfa.2021.101888
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    3. Roy, Preeti & Ahmad, Wasim & Sadorsky, Perry & Phani, B.V., 2022. "What do we know about the idiosyncratic risk of clean energy equities?," Energy Economics, Elsevier, vol. 112(C).

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    More about this item

    Keywords

    Stock returns; Event study; COVID-19; Structural break; Idiosyncratic risk;
    All these keywords.

    JEL classification:

    • R14 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - Land Use Patterns
    • J01 - Labor and Demographic Economics - - General - - - Labor Economics: General

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