{"title":"COVID-19 Pandemic and Stock Market Response: The Role of COVID-induced Fear, Investor Attention, and Firm-specific Characteristics","authors":"S. Narang, R. P. Pradhan, Bhanwar Singh","doi":"10.21315/aamj2023.28.1.13","DOIUrl":null,"url":null,"abstract":"The study examines the reaction of S&P BSE 500 companies to the outbreak of the 2019 novel coronavirus (COVID-19). The impact of COVID-19 induced fear of volatility index (VIX) on stock market returns and the role of pre-pandemic firm-specific characteristics in intensifying/reducing the effect of fear on stock returns are analysed. Event study methodology and panel data approach with firm and industry-time fixed effects are employed. The results show fear of VIX plays a significant role in the downfall and subsequent recovery of the stock market. It is witnessed the role of pre-pandemic firm- specific characteristics is heterogeneous in intensifying/reducing the effect of fear on stock returns. Investor attention (Google search volume) and the growth of COVID-19 cases are also crucial to the stock market movements during the study period.","PeriodicalId":44777,"journal":{"name":"Asian Academy of Management Journal","volume":" ","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2023-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asian Academy of Management Journal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21315/aamj2023.28.1.13","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MANAGEMENT","Score":null,"Total":0}
引用次数: 0
Abstract
The study examines the reaction of S&P BSE 500 companies to the outbreak of the 2019 novel coronavirus (COVID-19). The impact of COVID-19 induced fear of volatility index (VIX) on stock market returns and the role of pre-pandemic firm-specific characteristics in intensifying/reducing the effect of fear on stock returns are analysed. Event study methodology and panel data approach with firm and industry-time fixed effects are employed. The results show fear of VIX plays a significant role in the downfall and subsequent recovery of the stock market. It is witnessed the role of pre-pandemic firm- specific characteristics is heterogeneous in intensifying/reducing the effect of fear on stock returns. Investor attention (Google search volume) and the growth of COVID-19 cases are also crucial to the stock market movements during the study period.
期刊介绍：
The Asian Academy of Management Journal (AAMJ) is a refereed journal that is jointly published by the Asian Academy of Management (AAM) and Penerbit Universiti Sains Malaysia (http://www.penerbit.usm.my). The journal endeavors to provide forums for academicians and practitioners who are interested in the discussion of current and future issues and challenges impacting the Asian Management as well as promoting and disseminating relevant, high quality research in the field of management. The journal has an established and long history of publishing quality research findings from researchers not only in the Asian region but also globally.
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