IDEAS home Printed from https://ideas.repec.org/a/ssi/jouesi/v8y2021i4p250-261.html
   My bibliography  Save this article

How Covid19 affects the stock return of the Vietnamese pharmaceutical industry: event study method

Author

Listed:
  • Lai Cao Mai Phuong

    (Industrial University of Ho Chi Minh City, Vietnam)

Abstract

The outbreak of Covid-19 had a negative impact on socio-economic activities and stock markets of many countries around the world. However, it could affect the pharmaceutical industry in a different way. The purpose of this article is to examine how the covid19 pandemic affects the share price of the pharmaceutical industry in Vietnam. Event study is the main methodology of this article. The three events selected for study include: (i) On January 23, 2020, the first two patients, Chinese nationality, were found infected with covid19; (ii) March 6, 2020: The 17th patient, an international student from the UK, started the wave of covid19 infection in the community in Vietnam; (iii) On March 30, 2020, Vietnam announced the nationwide outbreak of Covid-19 and implemented economic lockdown. The article found that the impact of the three events on pharmaceutical stock prices was sign inconsistency. Cumulative abnormal returns (CAR) is positive after the first and third event is declared but the CAR is negative after the second event is announced. Of the three events, the stock price response to the third was the slowest since CAR (0; 7) started to be statistically significant while the other two events CAR (0; 2) were statistically significant. The results from this study have added to further insights into the effects of disease on the response of pharmaceutical stock prices.

Suggested Citation

  • Lai Cao Mai Phuong, 2021. "How Covid19 affects the stock return of the Vietnamese pharmaceutical industry: event study method," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 8(4), pages 250-261, June.
    • Handle: RePEc:ssi:jouesi:v:8:y:2021:i:4:p:250-261
    DOI: 10.9770/jesi.2021.8.4(14)
    as

    Download full text from publisher

    File URL: https://jssidoi.org/jesi/uploads/articles/32/Phuong_How_Covid19_affects_the_stock_return_of_the_Vietnamese_pharmaceutical_industry_event_study_method.pdf
    Download Restriction: no
    File URL: https://jssidoi.org/jesi/article/820
    Download Restriction: no
    File URL: https://libkey.io/10.9770/jesi.2021.8.4(14)?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. G. William Schwert, 2011. "Stock Volatility during the Recent Financial Crisis," European Financial Management, European Financial Management Association, vol. 17(5), pages 789-805, November.
    2. McTier, Brian C. & Tse, Yiuman & Wald, John K., 2013. "Do Stock Markets Catch the Flu?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(3), pages 979-1000, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Siyi Liu & Xin Liu & Chuancai Zhang & Lingli Zhang, 2023. "Institutional and individual investors' short‐term reactions to the COVID‐19 crisis in China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 4333-4355, December.
    2. Gavalas, Dimitris & Syriopoulos, Theodoros & Tsatsaronis, Michael, 2022. "COVID–19 impact on the shipping industry: An event study approach," Transport Policy, Elsevier, vol. 116(C), pages 157-164.
    3. Zhu, Jun & Ho, Kung-Cheng & Luo, Sijia & Peng, Langchuan, 2023. "Pandemic and tax avoidance: Cross-country evidence," Economic Modelling, Elsevier, vol. 124(C).
    4. Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
    5. Ahmed Baig & Jason Berkowitz & Ronald Jared DeLisle & Todd Griffith, 2023. "COVID‐19 intensity across U.S. states and the liquidity of U.S. equity markets," The Financial Review, Eastern Finance Association, vol. 58(2), pages 235-259, May.
    6. Lu Wang & Feng Ma & Guoshan Liu, 2020. "Forecasting stock volatility in the presence of extreme shocks: Short‐term and long‐term effects," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 797-810, August.
    7. Doina C. Chichernea & Alex Petkevich & Blerina Bela Zykaj, 2015. "Idiosyncratic Volatility, Institutional Ownership, and Investment Horizon," European Financial Management, European Financial Management Association, vol. 21(4), pages 613-645, September.
    8. Shi, Yujie & Wang, Liming, 2023. "Comparing the impact of Chinese and U.S. economic policy uncertainty on the volatility of major global stock markets," Global Finance Journal, Elsevier, vol. 57(C).
    9. David le Bris, 2018. "What is a market crash?," Economic History Review, Economic History Society, vol. 71(2), pages 480-505, May.
    10. Shaen Corbet & Cian Twomey, 2014. "Quantifying the Effects of the Inclusion and Segregation of Contracts for Difference in Australian Equity Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 4(2), pages 411-426.
    11. Jaroslav Bukovina, 2015. "The Impact of Economic Agents Perceptions on Stock Price Volatility," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 63(4), pages 1229-1234.
    12. Orkun ÇELİK & Deniz ERER & Elif ERER, 2018. "2008 Küresel Krizinin Bireysel Emeklilik Fonları Oynaklığı Üzerindeki Etkisi: Türkiye Örneği," Sosyoekonomi Journal, Sosyoekonomi Society, issue 26(35).
    13. Yan Yu, 2022. "Analyst Earnings Forecast Optimism during the COVID-19 Pandemic: Evidence from China," Sustainability, MDPI, vol. 14(19), pages 1-16, October.
    14. Szczygielski, Jan Jakub & Bwanya, Princess Rutendo & Charteris, Ailie & Brzeszczyński, Janusz, 2021. "The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets," Finance Research Letters, Elsevier, vol. 43(C).
    15. Salisu, Afees A. & Demirer, Riza & Gupta, Rangan, 2022. "Financial turbulence, systemic risk and the predictability of stock market volatility," Global Finance Journal, Elsevier, vol. 52(C).
    16. Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2024. "A general framework for a joint calibration of VIX and VXX options," Annals of Operations Research, Springer, vol. 336(1), pages 3-26, May.
    17. Pan, Zhiyuan & Xiao, Dongli & Dong, Qingma & Liu, Li, 2022. "Structural breaks, macroeconomic fundamentals and cross hedge ratio," Finance Research Letters, Elsevier, vol. 47(PA).
    18. Sabani, Nazmie & Bales, Stephan & Burghof, Hans-Peter, 2024. "On the different impact of local and national sources of policy uncertainty on sectoral stock volatility," Research in International Business and Finance, Elsevier, vol. 72(PB).
    19. Vanita Tripathi & Amanpreet Kaur, 2022. "Does Socially Responsible Investing Pay in Developing Countries? A Comparative Study Across Select Developed and Developing Markets," FIIB Business Review, , vol. 11(2), pages 189-205, June.
    20. Sheen Liu & Howard Qi & Jian Shi & Yan Alice Xie, 2015. "Inferring Default Correlation from Equity Return Correlation," European Financial Management, European Financial Management Association, vol. 21(2), pages 333-359, March.

    More about this item

    Keywords

    abnormal return; lockdown; pharmaceutical industry; stock market;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G40 - Financial Economics - - Behavioral Finance - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ssi:jouesi:v:8:y:2021:i:4:p:250-261. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Manuela Tvaronaviciene (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.