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The Impact of COVID-19 on Firm Stock Price Volatility

In: Business Development and Economic Governance in Southeastern Europe

Author

Listed:
  • Marinela Chamzallari

    (International Hellenic University)

  • Antonios Chantziaras

    (International Hellenic University
    Durham University Business School, Durham University)

  • Christos Grose

    (International Hellenic University)

Abstract

Our study investigates the impact of the COVID-19 external shock on the stock return volatility of global firms. Using a sample of 30,516 firms, accounting for 60% of listed firms globally, scattered across 63 countries, we evidence that COVID-19 cases (fatalities) have a positive and significant impact on stock return volatility of global firms, measured at different estimation intervals (windows of 30, 60, 90, 180, and 250 days). In particular, a one standard deviation increase in COVID-19 cases (fatalities) is associated with 0.79% (0.86%) increase in firm volatility. Additionally, we inform that the effect of COVID-19 is amplified for companies from Oceania and Asia. Our insights are advantageous to a wide spectrum of stakeholders, including managers, market participants, and policy makers.

Suggested Citation

  • Marinela Chamzallari & Antonios Chantziaras & Christos Grose, 2022. "The Impact of COVID-19 on Firm Stock Price Volatility," Springer Proceedings in Business and Economics, in: Pantelis Sklias & Persefoni Polychronidou & Anastasios Karasavvoglou & Victoria Pistikou & Nikolaos (ed.), Business Development and Economic Governance in Southeastern Europe, pages 433-450, Springer.
    • Handle: RePEc:spr:prbchp:978-3-031-05351-1_24
    DOI: 10.1007/978-3-031-05351-1_24
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    More about this item

    Keywords

    COVID-19; Volatility; Return stability;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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