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How resilient are the Asia Pacific financial markets against a global pandemic?

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  • Rahman, Md Lutfur
  • Al Mamun, Mohammed Abdullah

Abstract

This paper examines (i) the effects of the COVID-19 outbreak and subsequent government policy responses, and (ii) their firm-level determinants in the context of Asia Pacific financial markets. The study is built on 3278 companies from 7 countries. It is found that the declaration of the COVID-19 outbreak as a pandemic resulted in a significant negative impact on the stock returns (the cumulative average abnormal returns range from −7.35% to −26.21% for a [−5, 5] window period) with few exceptions. The results further indicate that although government stimulus packages somewhat calmed the markets, these policy responses, in general, failed to rebuild investors' confidence. The cross-sectional regression reveals that low leverage, low volatility, cash-rich, growth and good corporate governance firms were less vulnerable to the pandemic. However, firms' stock price responses to the crisis were invariant to their CSR engagement, features of the corporate board, and executive compensation structure.

Suggested Citation

  • Rahman, Md Lutfur & Al Mamun, Mohammed Abdullah, 2021. "How resilient are the Asia Pacific financial markets against a global pandemic?," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).
  • Handle: RePEc:eee:pacfin:v:69:y:2021:i:c:s0927538x21001633
    DOI: 10.1016/j.pacfin.2021.101656
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    3. Ali, Fahad & Sensoy, Ahmet & Goodell, John W., 2023. "Identifying diversifiers, hedges, and safe havens among Asia Pacific equity markets during COVID-19: New results for ongoing portfolio allocation," International Review of Economics & Finance, Elsevier, vol. 85(C), pages 744-792.
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    More about this item

    Keywords

    Coronavirus; COVID-19; Asia Pacific financial markets; Abnormal returns;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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