Abstract
The COVID-19 pandemic had a dramatic effect on the world economy, leading to disturbances in the global agri-food system. Disrupted supply chains caused instability in the market resulting in mixed reactions among market participants. The balance in the access and availability of food was disturbed at various levels starting from local up to international. Partial lockdowns of economies affected the equilibrium on the labor market in the food sector, the level of income and food security. The aim of this study was to determine the effect of shock caused by the COVID-19 pandemic on rates of return from shares of companies in the agri-food sector listed in Poland and Germany, as well as indicate dependencies between restrictions imposed by the investigated countries and changes in the rates of return from shares as a result of the pandemic. The source of data for the analyses of the capital markets in Poland and Germany was the Thomson Reuters database. In order to determine the effect of shock caused by the coronavirus pandemic and restrictions imposed by the states on the capital market the abnormal rates of return were calculated for shares of 24 Polish and 23 German companies from the food sector. The investigated Polish companies were listed on the Warsaw Stock Exchange, while the German companies were listed on the Frankfurt Stock Exchange and other stock exchanges in Germany. Calculations were based on stock market indexes: for the Polish stock exchange it was WIG and WIG-food, while for the German capital market it was DAX and DAX Food & Beverages. In this study the Stringency Index was also used as a tool to follow the response of the governments to the coronavirus pandemic. The results indicate that following the pandemic outbreak large reductions were observed for cumulative rates of return from shares as a consequence of the pandemic both in Poland and Germany. Abnormal cumulative rates of return for the investigated companies were comparable. Markedly greater increases in abnormal rates of return were recorded for the Polish companies of the food sector listed at the Warsaw Stock Exchange. The Stringency Index indicates that restrictions imposed by the German authorities in response to the coronavirus pandemic were slightly more radical than those introduced by the Polish government.
Highlights
Yan [100] when investigating the response of the stock market to COVID-19 in China stated that this virus has a negative effect on rates of return from shares, larger companies were more resilient to the shock, since they have greater resources and incur lesser losses due to the disruption of the supply chains
Conducted analyses of rates of return from shares during the COVID-19 pandemic typically did not concern the food sector, which differs from other sectors in terms of susceptibility to shock
Certain effects for the economy or the financial markets, which are brought about by violent global events such as e.g., pandemics may be determined using the black swan theory referred to economics, the theory of behavioral economics or the theory of capital market efficiency
Summary
Licensee MDPI, Basel, Switzerland.Attribution (CC BY) license (https://creativecommons.org/licenses/by/ 4.0/).The COVID-19 pandemic has changed and put the world at the standstill, while also having a profound impact on all aspects of human life. It has caused not only serious health problems, but also severely undermined economic, financial and food security on the global scale [1,2,3]. The virus, which was detected for the first time in China in December2019, spread to all countries worldwide. The pandemic officially declared by the World
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