The Impact of COVID-19 on Stock Return in Asian Stock Markets Evidences from Developed, Emerging and Frontier Asian Markets

Abstract

The study focuses on the impact of COVID-19 on stock market in Asian region highlighting the impact on stock returns of 15 Asian stock markets while observing the relationship between confirmed COVID-19 cases and stock return. In this regard, daily closing price indices during the period of 1st January 2019 and 30th June 2020 were collected. The impact of COVID-19 on stock returns were analysed using Event Study method by comparing the calculated abnormal return before and after the event day (20th of January, 2020) under two evet windows such as (0,10) and (10, 20). Apart from that, OLS based panel regression analysis was carried out to observe the impact of the number of COVID-19 confirmed cases on stock return in selected stock markets. The empirical analysis reveals that abnormal returns after the event day were negative and therefore it is apparent that the COVID-19 outbreak has drastically affected the stock returns of selected stock markets of the Asian region. Specifically, two event windows indicates that COVID-19 has an immediate negative impact on all selected stock markets while long term negative impact has limited to emerging and frontier markets. Moreover, it is observed that COVID-19 confirmed cases negatively affect the stock return of all selected stock markets in Asian region. Hence, the current study recommends the importance of recovering from the pandemic and sustaining appropriate environment for the development and smooth running of stock markets.