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

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.