We study the short-term market reactions of US and European stocks during the beginning of the Covid-19 pandemic. Employing an event study, we document that stocks react significantly negative to the announcement of the first death in a given country. While our results suggest that the announcements of country-specific fiscal policy measures negatively affect stock returns, monetary policy measures have the potential to calm markets. These reactions are either intensified or lessened by firm-specific characteristics such as tangible assets, liquidity, and institutional holdings.
Lead investigator: | Thomas Heyden |
Affiliation: | Justus Liebig University |
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Unit of real-time data collection | |
Start date | 1/2018 |
End date | 3/2020 |
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