Economics Commons^™

Did Covid-19 Disrupt The Stock Market Return And Volatility? A Meta-Analytic Approach, Masagus M. Ridhwan, Solikin M. Juhro, Affandi Ismail, Peter Nijkamp, Kelvin Ramadhan Hidayat

Bulletin of Monetary Economics and Banking

We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas …

Assessing Energy Mutual Funds: Performance, Risks, And Managerial Skills, Davinder K. Malhotra, Srinivas Nippani

School of Business Faculty Papers

This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due to the energy sector’s cyclical nature, these funds consistently outperformed benchmarks based on monthly returns, showcasing resilience amid market fluctuations. However, challenges emerged during the COVID-19 pandemic, with notable improvements post-vaccination. Utilizing a multi-factor model, the research highlights the interconnectivity of energy equity mutual funds with broader market movements and systemic factors. Despite their primary focus on the energy sector, these funds exhibit sensitivity to larger …

Optimal Interventions In Networks During A Pandemic, Roland Pongou, Guy Tchuente, Jean-Baptiste Tondji

Economics and Finance Faculty Publications and Presentations

We develop a model of optimal lockdown policy for a social planner who balances population health with short-term wealth accumulation. The unique solution depends on tolerable infection incidence and social network structure. We then use unique data on nursing home networks in the US to calibrate the model and quantify state-level preference for prioritizing health over wealth. We also empirically validate simulation results derived from comparative statics analyses. Our findings suggest that policies that tolerate more virus spread (laissez-faire) increase state GDP growth and COVID-19 deaths in nursing homes. The detrimental effects of laissez-faire policies are more potent for nursing …

When Does Csr Payoff?, John A. Doukas, Rongyao Zhang

Finance Faculty Publications

We investigate whether firms engaging in corporate social responsibility (CSR) can preserve firm value during normal and unprecedented exogenous adverse events. Our evidence shows, in regular times, a negative relation between CSR engagement and firm value, but under adverse economic conditions, CSR protects firm value by decreasing firm risks. We also find that firms with high managerial attributes engage in greater CSR activities that benefit shareholders in both normal and aberrant financial times. Despite the controversy surrounding CSR, our evidence points out that CSR can be viewed as a set of intangible assets that can improve firm value across good …

A Comparison Of M&T Bank And Citizens Bank Net Income Changes During The Coronavirus Pandemic, Alex R. Glasier

Applied Economics Theses

The COVID-19 pandemic had a tremendous impact on every aspect of life, particularly within the world of banking & finance. All banks saw sharp drops in their stock prices and net income, but my hypothesis is that larger, more established banks maintained more stability during 2020 than smaller banks. This paper analyzes the income statements and balance sheets of M&T Bank (an older, more well-established bank) and Citizens Bank (a less-established bank) during this difficult time.

The first part of my thesis describes similarities and differences between M&T Bank and Citizens Bank. I explain how these similarities and differences may …

The Impact Of Covid-19 Pandemic On Local Fiscal Revenue: Empirical Evidence From The Regions With Dominant Tertiary Sectors, Aisyah Nurrul Jannah, Khoirunurrofik Khoirunurrofik

Economics and Finance in Indonesia

The COVID-19 crisis has devastatingly affected social and economic sectors, including service or tertiary sectors such as banking, insuran;ce, hospitality, telecommunications, and industrial services. The pandemic has also aggravated fiscal conditions along with the slowing economy. This paper aims to assess the impact of COVID-19 on local own-source revenue in regions with dominant tertiary sectors and to examine how a fiscal incentive policy can increase the local own-source revenue. We applied the difference-in-difference panel random effect method by estimating total revenue and local own-source revenue as the outcome variables. The treatment variable is the districts/cities with dominant tertiary sectors of …

Understanding Covid-19’S Impact On Local Transportation Revenue –A Mid-Crisis View From Experts, Asha Weinstein Agrawal, Serena Alexander, Ashley M. Hooper

Mineta Transportation Institute

When COVID-19 swept into the United States in early 2020, it upended two patterns of behavior critical to transportation funding: how people traveled and where economic activity occurred. This study explored how, one year into the pandemic, experts in California believed that the COVID-19 pandemic was impacting local transportation budgets. We interviewed 34 funding experts who represented local transportation and public works departments, state officials, and municipal finance experts. In these conversations, conducted from December 2020 to March 2021, we asked interviewees how they saw COVID-19 impacting their overall local transportation budgets in the short and long term as well …

Pharmacy Performance Based On Financial Perspective Before And During Covid-19 Pandemic : A Case Study, Eva Sartika Dasopang, Ida Fauziah, Fenny Hasanah, Desy Natalia Siahaan, Dina Yunisma Rasyida Lubis

Pharmaceutical Sciences and Research

A pharmacy, aside from being a pharmaceutical care provider is also a functioning business. Thus, in the scope of business, pharmacy performance can be analysed using liquidity, activity, and profitability ratios. This study aimed to determine the performance of Pharmacy X based on a financial perspective before and during the COVID-19 pandemic. This research is a descriptive cross-sectional study that employed data obtained from sales and purchase records. The data were analysed using financial ratio analysis methods, including liquidity, activity, and profitability ratios. This study was conducted at Pharmacy X based on the amount of prescription and non-prescription income from …

A Study Of Canadian Bankruptcies, 2014-2022, Luis Guilherme Mazzali De Almeida

Undergraduate Student Research Internships Conference

This paper studies Canadian monthly bankruptcy data from January 2014 to February 2022 with an aim towards identifying the existence of underlying heterogeneity in the decision-making of firms across different industry sectors during periods of economic adversity. The data used include provincial two-digit NAICS bankruptcy level data, provincial pandemic-related data concerning the evolution of cases and stringency of adopted policies, and external factors pertaining to the domestic and foreign economies such as industry GDP, the overnight rate target, exchange rates, imports and exports, prices, and bond liquidity premium. The method is two-fold. First, we identify changes in bankruptcy trends caused …

Finance And Fear: Sentiment, Media, And Financial Markets During The Covid-19 Pandemic, Alison N. Sommers

Honors Theses

This thesis aims to build on existing research of market psychology and the effect of sentiment on financial markets. The main objective of this study is to determine the ability of investors to make rational decisions during the most recent period of high sentiment. The anomalies that have occurred in the stock market can be better understood by market psychology which focuses on the biases and social factors that influence investors. The media is a newly relevant factor impacting the volume of sentiment present in the market. A review of literature reveals that many studies of sentiment and financial market’s …

Laissez-Faire, Social Networks, And Race In A Pandemic, Roland Pongou, Guy Tchuente, Jean-Baptiste Tondji

Economics and Finance Faculty Publications and Presentations

We study the effects of race, network centrality, and policies that tolerate some level of virus spread (laissez-faire) on COVID-19 deaths in nursing homes in the United States. Our analysis uses unique data on nursing home networks and calibration-based estimates of states' preferences for health relative to short-term economic gains. Our findings suggest that laissez-faire policies increase deaths. Nursing homes with a larger share of Black residents experience more deaths, but they are less vulnerable to laissez-faire policies, especially when not central in social networks. Our findings highlight significant interactions between COVID-19 policies, race, and network structure among US seniors.

Three Papers On Sell-Side Financial Analysts, Zheng Liu

2022

This first paper (co-authored) tests the effect of Markets in Financial Instruments Directive II (MiFID II), which entered into force on 3 January 2018, on European-based sell-side financial analysts. We find that MiFID II, in part, unbundles brokers’ execution and research services. We assess the effectiveness of MiFID II in unbundling and find that the trading volume generated by the brokers that issued recommendation revisions declined significantly after the enactment of MiFID II. Further, in addition to a smaller price reaction to EU broker analysts’ recommendation revisions in the post period than in the pre period, these broker analysts appear …

The Case Of Singapore, Hwee Kwan Chow, Kong Weng Ho

Research Collection School of Economics

The economic impact of the Covid-19 pandemic on Singapore was more severe and protracted than the global financial crisis. Singapore responded with easing of the monetary policy stance, reinforcing financial stability, helping individuals to reduce debt obligations, easing business cashflow constraints, adjusting financial regulatory and supervisory protocols to cope with immediate challenges, and enabling the financial sectors to build long-term capabilities. Fiscal responses were unprecedented with four consecutive budgets and two ministerial statements, initially focusing on immediate assistance in respect of jobs, businesses, households, and later refined to providing more sector-specific assistance as the pandemic evolved with more detailed information …

Liquidity Outbreak: A 49 Country Analysis Of The Money Supply’S Effect On Stock Markets During The Covid-19 Pandemic, Dylan Porter

CMC Senior Theses

This paper compares the effects of monthly money growth on monthly stock market performance in 49 countries around the world before and after the COVID-19 pandemic. Countries are grouped in aggregate, by continent, and development status. OLS panel regressions show that lagged monetary growth variables are better monetary indicators of stock market performance than contemporaneous values. Variables that measure the pandemic’s progress (infections/deaths and government responses) are included alongside macro-economic variables but are seldom significant. Monetary growth had less correlation with the stock market during the pre-pandemic period (January 2018 - December 2020), suggesting that the uncertain economic conditions of …

Stress Testing During Times Of War, Kathryn Judge

Faculty Scholarship

In the spring of 2009, the United States was mired in the greatest recession it had faced since the Great Depression. In March, the Dow Jones Industrial Average had fallen to 6,594.44, a total decline of 53.4 percent from its peak in the fall of 2007. The official unemployment rate was over 9 percent and still trending upward, eventually exceeding 10 percent. With the support of Congress, the Federal Reserve (the Fed) and other financial regulators had launched an array of initiatives to contain the fallout of what had become a global financial crisis. These interventions, including a massive recapitalization …

Growing During A Global Crisis, Ahmad E. Shahin

Theses and Dissertations

Employing the data from the World Bank Enterprise surveys, we examine how the first shock of the COVID-19 pandemic has affected firm dynamics across the world. Our first group of robust models have tested the effect of internal firms’ managerial decisions and other external factors on the sales’ growth, where we found that the most important decisions are related to preserving and increasing liquidity levels, in addition to utilizing the workforce in giving more input to maintain and grow the firms’ sales. Our second group of robust models have tested the firms’ financial decisions and other external factors on the …

Unscheduled Events, Stock Returns, And Market Efficiency: A Covid-19 Case Study Of Industry Leaders, Nathan R. Durham

Honors College Theses

This thesis explores the effects of unscheduled events on stock market returns due to increased uncertainty. A case study is done on the Coronavirus pandemic for the dates of March 9th, 2020, through March 23rd , 2020. The findings allow for short-run and long-run narratives where long-run returns, and short-run volatility explain how the role of psychology and different forecasting strategies are used to differentiate industry outcomes and technology sector returns.

Covid-19 And Women-Led Businesses Around The World, Yu Liu, Siqi Wei, Jian Xu

Economics and Finance Faculty Publications and Presentations

The impacts of crises are never gender-neutral, and the COVID-19 pandemic is no exception. Using a brand-new dataset covering 24 countries, we document that women-led businesses are subject to a higher likelihood of closure and a longer closure duration than men-led businesses during the pandemic. Women business leaders are also more pessimistic about the future than men business leaders. The disadvantages suffered by women-led businesses widen in high gender inequality economies and developing economies. Our results further indicate that finance and labor factors are likely to be the major contributors to these disadvantages. We suggest that COVID-19′s policy response should …

Covid-19: A Black Swan?, Ben M. Uehlinger

Senior Honors Projects, 2020-current

A Black Swan, as termed by Nassim Taleb, is an unexpected, high magnitude event that is often rationalized in hindsight. 9/11 and the Financial Crisis of 2008 are two examples of these tail probability events. Though COVID-19 has been regarded as momentous and unexpected, Taleb does not credit it as a true Black Swan. This paper aims to compare COVID-19 to these recent Black Swans in terms of predictability and significance. Cointegration was tested across 11 major sectors. Further economic indicators were explored with the goal of discussing the broader context of each event. It was concluded that COVID-19 was …

Organizational Resources, Country Institutions, And National Culture Behind Firm Survival And Growth During Covid-19, Yu Liu, Mike W. Peng, Zuobao Wei, Jian Xu, Lixin Colin Xu

Economics and Finance Faculty Publications and Presentations

This paper provides one of the first comprehensive and most updated studies on the effects of firms’ organizational resources, country institutions, and national culture on the survival and growth of private firms around the world during the COVID-19 pandemic. Analyzing World Bank Enterprise Follow-up Surveys on COVID-19 that cover 18,770 firms in 36 countries, the paper documents four sets of findings. (1) During the pandemic, firms with favorable organizational resources (state ownership and affiliation with parent companies) are more likely to survive and grow, whereas firms with foreign ownership or more financial obstacles are less likely to survive or grow. …

Zoom In, Class Out: An Event Study On Publicly Traded Ed Tech Firm Valuations During Covid-19, Matiss Ozols

CMC Senior Theses

This paper examines how publicly traded Ed Tech firms reacted to negative announcements regarding COVID-19. Using an event study method, I document how an international portfolio of Ed Tech firms react across multiple event windows. The results show that Ed Tech firms reacted positively to the announcement of the first US death and negatively to the World Health Organization’s declaration that COVID-19 was a pandemic. Additionally, differences in geographical location did not impact cumulative abnormal returns across event windows. Finally, firm-specific characteristics such as volatility and financial leverage had little or no significance on stock returns.

Bursting The Auto Loan Bubble In The Wake Of Covid-19, Pamela Foohey

Scholarly Works

Before the COVID-19 pandemic, auto loans outstanding in the United States had soared to record highs. The boom in lending spanned new and used cars and traditional and subprime loans. With loan delinquencies also hitting new highs almost every quarter, predictions that the auto lending market could burst soon abounded. When the economy came to a grinding halt and unemployment skyrocketed in the wake of the pandemic, auto lenders knew they were facing a crisis. Throughout 2020, auto lenders granted more payment forbearances to consumers, while slashing interest rates on new loans. Auto manufacturers similarly made promises to buyers, such …

Macroeconomic Stabilization In The Digital Age, John Beirne, David Fernandez

Research Collection Lee Kong Chian School Of Business

Macroeconomic Stabilization in the Digital Age provides insights into factors affecting the macroeconomic management of the economy in the digital age. Policy makers need to be aware of the increasing prominence of the digital economy and digital finance and seek to better understand how continued digitalization will affect policies aimed at managing the economy. For emerging market economies (EMEs), macroeconomic policy challenges have been exacerbated by the digital finance revolution in the aftermath of the global financial crisis and the coronavirus disease (COVID-19) pandemic, when many EMEs experienced large and volatile capital flows. Policy makers must also navigate through fluctuating …

Lessons Learned: Donald Kohn, Maryann Haggerty

Journal of Financial Crises

Kohn, an economist, is a 40-year veteran of the Federal Reserve System. He served as a member of the Board of Governors, and was vice chair, from 2002-2010, which included the years of the global financial crisis (GFC).

The International Spread Of Covid-19 Stock Market Collapses, Silvio Contessi, Pierangelo De Pace

Pomona Economics

We identify periods of mildly explosive dynamics and collapses in the stock markets of 18 major countries during the first wave of the COVID-19 pandemic of 2020. We find statistical evidence of instability transmission from the Chinese stock market to all other markets. The recovery is heterogeneous and generally non-explosive.

Short Notes On The Economy During The Covid-19 Crisis, Asma Hyder (Ed.)

Faculty Research - Books

The coronavirus – COVID-19 – pandemic has had a huge, catastrophic, impact on the global economy and on economies of almost all countries. Even those countries which were posting record-breaking profits just four weeks ago, such as the US and Germany, are now faced with a substantial fall in incomes, earning, employment and profits. From record low unemployment levels, these countries are already projecting a huge spike in unemployment, and all indicators suggest that a global recession is now imminent.