Covid-19 on stock market performance: evidence from Italy

3区经济学 Q1 Economics, Econometrics and Finance

Economic Research-Ekonomska Istrazivanja Pub Date : 2023-10-13 DOI:10.1080/1331677x.2023.2264369

Marianna Mauro, Monica Giancotti, Vito Pipitone, Riccardo Tiscini

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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.

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Covid-19对股市表现的影响:来自意大利的证据

本文从行业层面探讨了Covid-19大流行对意大利股市的影响，分析了在MIB 30和STAR两大股指中上市的公司。我们利用公司层面的每日股票价格(从2019年12月至2020年10月31日)，采用事件研究方法分析短期股市反应，考虑到不同的大流行窗口期。结果显示，国内首例病例公布后，股市表现为负面反应，当国家被锁定时，股市表现为深度反转效应。货币政策措施显示出缓解股市的潜力:《下一代协议》(Next Generation Agreement)的宣布凸显了市值的反向作用。纳入公司特定变量是为了推断大流行期间成为价值驱动因素的公司特征:在第一次封锁期间，更大的公司资本确保了对Covid-19冲击的更大抵御能力。在行业和公司层面都可以观察到逆转。结果使我们能够了解传染病的爆发如何影响各个部门的股票回报，帮助投资者制定交易策略，保护他们的财富免受未来流行病的影响，并为评估经济对流行病危机的脆弱性提供投入。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economic Research-Ekonomska Istrazivanja ECONOMICS-

CiteScore

7.10

自引率

0.00%

发文量

351

审稿时长

45 weeks

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.