Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study
The unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stoc...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2021-04-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14919/IMFI_2021_02_Ledwani.pdf |
| _version_ | 1818773463833247744 |
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| author | Sanket Ledwani Suman Chakraborty Sandeep S. Shenoy |
| author_facet | Sanket Ledwani Suman Chakraborty Sandeep S. Shenoy |
| author_sort | Sanket Ledwani |
| collection | DOAJ |
| description | The unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of six sub-event windows after the COVID-19 news up-doves the world, and 120 days prior to the selected event date to estimate average expected returns. BHAR values in the four event windows are statistically significant, covering stock markets from panic and nosedive to their correction and recovery. ABHAR values reported are significantly negative in the event window ranging from –0.15% to –38.43% for G-7 and –0.06% to –37.12% for BRICS nations. Despite similar ABHAR trends, the BHAR values and correlation matrix exhibit a diverse reaction in BRICS nations compared to the highly synchronized reaction in the G-7 group of nations in the COVID period. |
| first_indexed | 2024-12-18T10:25:39Z |
| format | Article |
| id | doaj.art-7b21f5299fc74c43b0f6f586d8203a44 |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-12-18T10:25:39Z |
| publishDate | 2021-04-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-7b21f5299fc74c43b0f6f586d8203a442022-12-21T21:11:00ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582021-04-01182203610.21511/imfi.18(2).2021.0314919Spatial tale of G-7 and BRICS stock markets during COVID-19: An event studySanket Ledwani0https://orcid.org/0000-0002-3493-2186Suman Chakraborty1https://orcid.org/0000-0002-3999-7181Sandeep S. Shenoy2https://orcid.org/0000-0002-9848-9718Doctoral Student, Department of Commerce, MIT Campus, Manipal Academy of Higher Education, KarnatakaDr., Associate Professor, Department of Commerce, MIT Campus, Manipal Academy of Higher EducationDr., Associate Professor and Head, Department of Commerce, MIT Campus, Manipal Academy of Higher EducationThe unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of six sub-event windows after the COVID-19 news up-doves the world, and 120 days prior to the selected event date to estimate average expected returns. BHAR values in the four event windows are statistically significant, covering stock markets from panic and nosedive to their correction and recovery. ABHAR values reported are significantly negative in the event window ranging from –0.15% to –38.43% for G-7 and –0.06% to –37.12% for BRICS nations. Despite similar ABHAR trends, the BHAR values and correlation matrix exhibit a diverse reaction in BRICS nations compared to the highly synchronized reaction in the G-7 group of nations in the COVID period.https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14919/IMFI_2021_02_Ledwani.pdfabnormal returnsBHARevent studyfinancial crisispandemicstock exchange |
| spellingShingle | Sanket Ledwani Suman Chakraborty Sandeep S. Shenoy Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study Investment Management & Financial Innovations abnormal returns BHAR event study financial crisis pandemic stock exchange |
| title | Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study |
| title_full | Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study |
| title_fullStr | Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study |
| title_full_unstemmed | Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study |
| title_short | Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study |
| title_sort | spatial tale of g 7 and brics stock markets during covid 19 an event study |
| topic | abnormal returns BHAR event study financial crisis pandemic stock exchange |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/14919/IMFI_2021_02_Ledwani.pdf |
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