Idiosyncratic and Systematic Shocks of COVID-19 Pandemic on Financial Markets
13 Pages Posted: 15 Apr 2020
Date Written: April 13, 2020
This study is discovering the impact of idiosyncratic and systematic shocks of COVID-19 pandemic on financial markets. Under a condition when the application of a conventional event-study is limited due to a high frequency of negative news – we suggest brute-force search to identify those announcements which appear to be virtually impactful. Having chosen 22 countries with predominantly different initial conditions and anti-pandemic policies adopted we would expect high diversity of market reactions. However, our findings say that systematic shocks are consistently harmful. Idiosyncratic shocks are more important for the beginning of the deteriorating of the epidemiological situation in a particular country.
Keywords: COVID-19, pandemic, market reaction, event study
JEL Classification: G14, I15
Suggested Citation: Suggested Citation