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Bulletin of Monetary Economics and Banking

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.

First Page

25

Last Page

82

Creative Commons License

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

Country

Indonesia

Affiliation

Bank Indonesia Institute

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