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Impact of novel coronavirus outbreak-related announcements on pharmaceutical stocks: empirical evidence from an emerging market

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  • Vineeta Kumari
  • Varun Kumar Rai
  • Dharen Kumar Pandey

Abstract

This study uses the event study method to examine the impact of COVID-19 outbreak-related announcements on the returns and volatility of 74 exchange-listed Indian pharmaceutical stocks. We find significant negative effects of pandemic-related announcements on stock returns and volatility in an emerging market, particularly during the declaration of a global pandemic. Further, small-cap stocks are hit harder than large-cap and mid-cap stocks. We also use abnormal volatility to assess the outbreak's impact on market volatility. We also find waning effects in the post-event window analysis. Our findings are consistent with current literature.

Suggested Citation

  • Vineeta Kumari & Varun Kumar Rai & Dharen Kumar Pandey, 2023. "Impact of novel coronavirus outbreak-related announcements on pharmaceutical stocks: empirical evidence from an emerging market," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 16(1), pages 40-57.
    • Handle: RePEc:ids:ijmefi:v:16:y:2023:i:1:p:40-57
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    Cited by:

    1. Pandey, Dharen Kumar & Hassan, M.Kabir & Kumari, Vineeta & Hasan, Rashedul, 2023. "Repercussions of the Silicon Valley Bank collapse on global stock markets," Finance Research Letters, Elsevier, vol. 55(PB).

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