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Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach

Author

Listed:
  • Masagus M. Ridhwan

    (Bank Indonesia, Indonesia)

  • Solikin M. Juhro

    (Bank Indonesia, Indonesia)

  • Affandi Ismail

    (SMERU Research Institute, Indonesia)

  • Peter Nijkamp

    (Open University, Netherlands)

  • Kelvin Ramadhan Hidayat

    (Bank Indonesia, Indonesia)

Abstract

We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas estimates using weekly returns exhibit the opposite trend . The market reacts more negatively to the COVID-19related news than the number of COVID-19 cases/deaths. Overall, this study confirms the disruptive effect of COVID-19 pandemic on stock market performance.

Suggested Citation

  • Masagus M. Ridhwan & Solikin M. Juhro & Affandi Ismail & Peter Nijkamp & Kelvin Ramadhan Hidayat, 2024. "Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(1), pages 25-82, March.
    • Handle: RePEc:idn:journl:v:27:y:2024:i:1b:p:25-82
    DOI: https://doi.org/10.59091/2460-9196.2193
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    More about this item

    Keywords

    A meta-regression analysis; COVID-19; Stock market return; Stock market volatility;
    All these keywords.

    JEL classification:

    • C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
    • I1 - Health, Education, and Welfare - - Health
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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