The Impact of COVID-19 on Firm Stock Price Volatility

被引：0

作者：

Chamzallari, Marinela ^{[1
]}

Chantziaras, Antonios ^{[1
,2
]}

Grose, Christos ^{[3
]}

机构：

[1] Int Hellen Univ, Sch Humanities Social Sci & Econ, 14th Klm Thessaloniki Moudania, Thessaloniki 57001, PC, Greece

[2] Univ Durham, Business Sch, Mill Hill Lane, Durham DH1 3LB, England

[3] Int Hellen Univ, Sch Econ & Business Adm, Kavala 65404, PC, Greece

来源：

BUSINESS DEVELOPMENT AND ECONOMIC GOVERNANCE IN SOUTHEASTERN EUROPE | 2022年

关键词：

COVID-19; Volatility; Return stability; NATURAL DISASTERS; JAPAN EARTHQUAKE; BEHAVIOR; RETURNS;

D O I：

10.1007/978-3-031-05351-1_24

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Our study investigates the impact of the COVID-19 external shock on the stock return volatility of global firms. Using a sample of 30,516 firms, accounting for 60% of listed firms globally, scattered across 63 countries, we evidence that COVID-19 cases (fatalities) have a positive and significant impact on stock return volatility of global firms, measured at different estimation intervals (windows of 30, 60, 90, 180, and 250 days). In particular, a one standard deviation increase in COVID-19 cases (fatalities) is associated with 0.79% (0.86%) increase in firm volatility. Additionally, we inform that the effect of COVID-19 is amplified for companies from Oceania and Asia. Our insights are advantageous to a wide spectrum of stakeholders, including managers, market participants, and policy makers.

引用

页码：433 / 450

页数：18

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