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Economic Research-Ekonomska Istraživanja Volume 35, 2022 - Issue 1
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Articles

Do financial and non-financial stocks hedge against lockdown in Covid-19? An event study analysis

Ran Taoa School of Economics, Qingdao University, Qingdao, People’s Republic of ChinaView further author information
,
Chi-Wei Sua School of Economics, Qingdao University, Qingdao, People’s Republic of ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-9722-8105View further author information
ORCID Icon,
Tanzeela Yaqoobb Department of Statistics, University of Karachi, Sindh, PakistanView further author information
&
Mir Hammalb Department of Statistics, University of Karachi, Sindh, PakistanView further author information
Pages 2405-2426 | Received 01 Apr 2021, Accepted 24 Jun 2021, Published online: 20 Jul 2021

Figures & data

Figure 1. Timeline of event study.

Source: Authors Estimation.

Figure 1. Timeline of event study.Source: Authors Estimation.

Figure 2. AAR and CAAR for lockdown announcements (Non-financial sector).

Source: Authors Estimation.

Figure 2. AAR and CAAR for lockdown announcements (Non-financial sector).Source: Authors Estimation.

Table 1. Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) of financial and non-financial sector for [−10, +10] (March 2, 2020-April 2, 2020).

Table 2. Average Abnormal Returns (AAR) and Cumulative Average Abnormal Returns (CAAR) of financial and non-financial sector for [−20, +20] (February 19, 2020–April 16, 2020).

Figure 3. AAR and CAAR for lockdown announcements (financial sector).

Source: Authors Estimation.

Figure 3. AAR and CAAR for lockdown announcements (financial sector).Source: Authors Estimation.

Table 3. Diagnostic test on market model regression (non-financial sector).

Table

Table

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