Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach

Authors

Masagus M. Ridhwan, Bank Indonesia Institute, Bank IndonesiaFollow
Solikin M. Juhro, Bank Indonesia - IndonesiaFollow
Affandi Ismail, SMERU Research Institute, JakartaFollow
Peter Nijkamp, Open University, HeerlenFollow
Kelvin Ramadhan Hidayat, Bank Indonesia Institute, Bank IndonesiaFollow

Document Type

Article

Abstract

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 estimates using weekly returns exhibit the opposite trend . The market reacts more negatively to the COVID-19related news than the number of COVID-19 cases/deaths. Overall, this study confirms the disruptive effect of COVID-19 pandemic on stock market performance.

Recommended Citation

Ridhwan, Masagus M.; Juhro, Solikin M.; Ismail, Affandi; Nijkamp, Peter; and Hidayat, Kelvin Ramadhan (2024) "Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach," Bulletin of Monetary Economics and Banking: Vol. 27: No. 1, Article 2.
DOI: https://doi.org/10.59091/2460-9196.2193
Available at: https://bulletin.bmeb-bi.org/bmeb/vol27/iss1/2

First Page

25

Last Page

82

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License

Country

Indonesia

Affiliation

Bank Indonesia Institute