COVID-19 AND TWO DIFFERENT STOCK MARKETS: AN EVENT STUDY ANALYSIS

Hasan, Fakhrul and Shahbaz, Ahmed Ashfaque (2021) COVID-19 AND TWO DIFFERENT STOCK MARKETS: AN EVENT STUDY ANALYSIS. The Journal of Prediction Markets, 15 (2). pp. 3-18. ISSN 1750-6751

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Abstract

In this study, we examine two different stock markets’ response to the COVID-19 pandemic using event study methodology and a novel linear regression
model. We use LSE (UK) as a proxy for the developed countries stock market
and DSE (Bangladesh) as a proxy for the developing countries stock market.
Using the daily COVID-19 confirmed cases and deaths and stock market
returns data from these two countries (UK and Bangladesh) over the period
November 01, 2019 to August 07, 2020. Our main research question was, which
stock market suffered more during the COVID-19 pandemic, whether developed
countries stock market or developing countries stock market. We find that
developed countries stock markets (LSE as proxy) responded negatively to the
growth in COVID-19 confirmed cases and deaths in COVID-19. We further
find that developing countries stock markets (DSE as proxy) did not responded
to the growth in COVID-19 confirmed cases and deaths in COVID-19

Item Type: Article
Keywords: Pandemic, COVID-19, Event study, LSE, DSE
Faculty / Department: Faculty of Arts & Humanities > Business School
Depositing User: Fakhrul Hasan
Date Deposited: 15 Oct 2021 08:50
Last Modified: 15 Oct 2021 08:50
URI: https://hira.hope.ac.uk/id/eprint/3391

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