{"title":"Covid-19对股市表现的影响:来自意大利的证据","authors":"Marianna Mauro, Monica Giancotti, Vito Pipitone, Riccardo Tiscini","doi":"10.1080/1331677x.2023.2264369","DOIUrl":null,"url":null,"abstract":"This paper has explored the impact of the Covid-19 pandemic on the Italian stock market at an industry level, analysing companies listed in the two major stock indexes: MIB 30 and STAR. Using daily firm-level stock prices (from December 2019, until October 31, 2020), we employed an event-study approach to analyse short-term stock market reactions, considering different pandemic windows period. Results showed that stocks reacted negatively to the announcement of the first case in the country, with deep reversal effects when the country was locked down. Monetary policy measures showed potential to ease stock markets: the announcement of Next Generation Agreement highlights the reversed role of Market Capitalization. Firm-specific variables were included in order to make inferences about firm characteristics that emerged as value drivers during the pandemic: in the first lockdown period, a greater company’s capitalization ensured a greater resilience to the Covid-19 shock. Reversals at both an industry and a company level are observed. Results allow to understand how an outbreak of contagious disease affects stock returns in various sectors, helping investors to develop trading strategies to protect their wealth from future epidemics and providing inputs into the assessment of economic vulnerability to pandemic crises.","PeriodicalId":51450,"journal":{"name":"Economic Research-Ekonomska Istrazivanja","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Covid-19 on stock market performance: evidence from Italy\",\"authors\":\"Marianna Mauro, Monica Giancotti, Vito Pipitone, Riccardo Tiscini\",\"doi\":\"10.1080/1331677x.2023.2264369\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper has explored the impact of the Covid-19 pandemic on the Italian stock market at an industry level, analysing companies listed in the two major stock indexes: MIB 30 and STAR. Using daily firm-level stock prices (from December 2019, until October 31, 2020), we employed an event-study approach to analyse short-term stock market reactions, considering different pandemic windows period. Results showed that stocks reacted negatively to the announcement of the first case in the country, with deep reversal effects when the country was locked down. Monetary policy measures showed potential to ease stock markets: the announcement of Next Generation Agreement highlights the reversed role of Market Capitalization. Firm-specific variables were included in order to make inferences about firm characteristics that emerged as value drivers during the pandemic: in the first lockdown period, a greater company’s capitalization ensured a greater resilience to the Covid-19 shock. Reversals at both an industry and a company level are observed. Results allow to understand how an outbreak of contagious disease affects stock returns in various sectors, helping investors to develop trading strategies to protect their wealth from future epidemics and providing inputs into the assessment of economic vulnerability to pandemic crises.\",\"PeriodicalId\":51450,\"journal\":{\"name\":\"Economic Research-Ekonomska Istrazivanja\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-10-13\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Economic Research-Ekonomska Istrazivanja\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1080/1331677x.2023.2264369\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"Economics, Econometrics and Finance\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Economic Research-Ekonomska Istrazivanja","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/1331677x.2023.2264369","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"Economics, Econometrics and Finance","Score":null,"Total":0}
Covid-19 on stock market performance: evidence from Italy
This paper has explored the impact of the Covid-19 pandemic on the Italian stock market at an industry level, analysing companies listed in the two major stock indexes: MIB 30 and STAR. Using daily firm-level stock prices (from December 2019, until October 31, 2020), we employed an event-study approach to analyse short-term stock market reactions, considering different pandemic windows period. Results showed that stocks reacted negatively to the announcement of the first case in the country, with deep reversal effects when the country was locked down. Monetary policy measures showed potential to ease stock markets: the announcement of Next Generation Agreement highlights the reversed role of Market Capitalization. Firm-specific variables were included in order to make inferences about firm characteristics that emerged as value drivers during the pandemic: in the first lockdown period, a greater company’s capitalization ensured a greater resilience to the Covid-19 shock. Reversals at both an industry and a company level are observed. Results allow to understand how an outbreak of contagious disease affects stock returns in various sectors, helping investors to develop trading strategies to protect their wealth from future epidemics and providing inputs into the assessment of economic vulnerability to pandemic crises.
期刊介绍:
Economic Research-Ekonomska Istraživanja publishes rigorous scientific papers which make a significant contribution to any field of economics – theoretical, applied or empirical – with special attention given to experiences of the transition from socialism to market economies in Eastern Europe. New research on regional development in other geographical areas is welcomed, particularly papers addressing theoretical and empirical issues in economics for countries in transition and former transitional economies. The journal encourages submissions that explore broad economic topics that can contribute to the development of economics as a discipline, discussing important economic issues both from an orthodox or heterodox point of view.