Covid 19’s Impact on Stocks'Relative Risks

Abstract

To understand the impact of the pandemic on different stocks ‘relative risks, we analyze the stock market by comparing pre-covid and post-covid statistics. By using the Capital Asset Pricing Model (CAPM) [1] to fit our data, our result shows interesting trends on both individual and industry levels. There are three significant implications of the result of our research: 1)The R-Square of most stocks’ increased after the outbreak of Covid; 2)The consumer staples, real estate, and utilities sectors experienced a much more significant increase in R-square than other sectors; 3)Companies with stocks with a more significant decrease in their CAPM's β factor are less negatively influenced by COVID-19, and companies with stocks with a more significant increase in their CAPM's β factor are in the utilities and real estate sectors.