How has the announcement of the Covid-19 pandemic and vaccine impacted the market?

Figures & data

Table 1. Descriptive statistics of the control variables per sector.

	TECH		Non-technological
			HC		CC		OS
	MED	SD	MED	SD	MED	SD	MED	SD
PER	32.41	116.46	29.63	36.42	49.04	202.75	30.42	18.58
DY	0.25%	0.93%	0%	1.49%	0.49%	0.93%	1.39%	1.41%
ROA	11.91%	9.93%	13.13%	12.97%	8.05%	7.65%	5.14%	7.12%
ROE	17.10%	37.57%	19.07%	59.42%	27.07%	85.25%	13.09%	39.80%
LV	50.69%	26.73%	36.94%	22.62%	68.04%	20.23%	67.48%	24.58%
ASSET	16,198,500	91,026,618	7,316,000	22,705,819	2,140,2000	62,330,632	49,983,000	522,267,531
BV	5,247,250	44,996,316	4,613,000	7,355,774	5,399,900	26,568,512	14,053,500	529,467,623
NR	1,168,858	11,797,125	1,002,000	2,435,244	1,273,000	3,557,496	1,900,958	3,635,924
N	46		17		19		18

Note: Data from 2019. ASSET, Value to Book ratio (BV) and Net result (NR) expressed as USD$. MED: Median. SD: Standard deviation. TECH: Technology sector. HC: Healthcare sector. CC: Consumer cyclical sector. OS: Other sectors.

Source: Own performance.

Table 2. Descriptive statistics of sectorial cumulative abnormal returns (CARe) (%) for the event windows to the COVID-19 pandemic announcement (Panel A) versus the first vaccine (Panel B).

		Panel A: COVID-19 Pandemic							Panel B: First Vaccine
		−1,1	−1,5	−1,10	−1,15	−1 − 20	−1,25	−1,30	−1,1	−1,2	−1,5	−1,10	−1,15
TECH N = 46	Mean	0.94%	−1.07%	3.52%	1.97%	1.56%	−1.03%	−0.30%	−0.67%	−0.21%	−0.14%	0.93%	0.00%
	SD	3.85%	9.97%	6.51%	9.62%	7.07%	9.18%	9.93%	6.84%	5.73%	7.72%	8.80%	10.00%
	Median	1.55%	−0.94%	2.19%	1.49%	0.88%	−1.76%	−2.02%	−0.14%	−0.37%	0.57%	0.37%	−0.48%
	Q25	−1.24%	−5.97%	−1.29%	−4.31%	−3.49%	−7.32%	−5.41%	−3.90%	−3.71%	−5.13%	−5.24%	−5.28%
	Q75	3.46%	6.81%	7.98%	7.38%	3.96%	4.87%	4.27%	4.05%	3.84%	4.77%	5.37%	5.79%
HC N = 17	Mean	−3.28%	−0.98%	−1.83%	2.29%	3.28%	4.98%	9.29%	1.02%	0.09%	1.29%	−1.21%	0.15%
	SD	3.66%	14.78%	6.95%	9.22%	11.87%	16.85%	20.06%	8.25%	7.81%	10.36%	10.07%	17.44%
	Median	−2.86%	0.20%	−1.74%	2.33%	3.18%	5.42%	4.72%	1.88%	0.63%	2.46%	−0.84%	−2.16%
	Q25	−5.85%	−10.43%	−6.75%	−2.78%	−7.74%	−5.39%	−3.68%	−1.84%	−1.60%	−3.70%	−3.08%	−4.29%
	Q75	−1.96%	6.54%	0.79%	6.23%	8.62%	9.93%	14.53%	4.98%	3.29%	3.99%	2.26%	4.59%
CC N = 19	Mean	−3.21%	−17.40%	−5.48%	−11.55%	−8.04%	−9.01%	−7.11%	7.58%	6.04%	8.53%	10.08%	9.15%
	SD	7.09%	17.98%	8.41%	13.42%	10.33%	13.54%	12.58%	10.83%	8.50%	11.63%	10.57%	10.49%
	Median	−3.35%	−14.55%	−5.57%	−7.92%	−6.21%	−5.01%	−6.98%	7.83%	6.83%	9.04%	8.84%	7.54%
	Q25	−7.84%	−30.41%	−11.39%	−19.65%	−11.18%	−13.41%	−15.13%	−2.91%	−1.51%	−0.84%	0.85%	1.15%
	Q75	1.71%	−4.25%	−0.03%	−3.96%	−2.52%	−1.04%	0.78%	16.62%	12.30%	19.83%	18.16%	16.52%
OS N = 18	Mean	−3.16%	−4.42%	−3.65%	−3.64%	1.29%	0.71%	0.33%	3.19%	3.17%	4.07%	4.66%	3.39%
	SD	5.65%	15.97%	7.76%	12.10%	11.10%	14.55%	15.80%	8.61%	7.26%	9.84%	10.14%	12.57%
	Median	−2.80%	−6.84%	−3.01%	−3.76%	−1.42%	−1.61%	−0.27%	3.87%	3.17%	3.49%	3.70%	3.26%
	Q25	−6.72%	−14.85%	−9.58%	−10.45%	−7.20%	−7.18%	−8.36%	−1.42%	−1.41%	−1.03%	−0.63%	−2.06%
	Q75	0.29%	1.92%	2.75%	3.84%	3.92%	5.01%	7.08%	7.41%	6.55%	9.09%	9.18%	7.90%
	K–S Test	0.067 (0.200)	0.086 (0.065)	0.050 (0.065)	0.066 (0.200)	0.096 (0.024)	0.090 (0.045)	0.106 (0.007)	0.091 (0.038)	0.086 (0.065)	0.083 (0.088)	0.084 (0.081)	0.088 (0.053)

Note: SD: Standard deviation. Q25: 1^st quartile. Q75: 3^rd quartile. K–S Test: Kolmogorov–Smirnov test. p-value in brackets.

Source: the authors.

Table 3. OLS and quantile (Q) regression analysis of the cumulative abnormal returns (CARe) to the COVID-19 pandemic announcement: TECH sector versus other sectors.

	PANEL A: Dependent Variables: CARe from COVID-19
	[−1,1]	[−1,5]	[−1,10]	[−1,15]	[−1,20]				[−1,25]				[−1,30]
	OLS	OLS	OLS	OLS	OLS	Q:0.25	Q:0.50	Q:0.75	OLS	Q:0.25	Q:0.50	Q:0.75	OLS	Q:0.25	Q:0.50	Q:0.75
Constant	−6.090** (2.240)	−4.831 (16.526)	−7.123 (9.593)	7.542 (12.844)	6.017 (3.801)	−1.2 (0.8)	4.1 (0.7)	15.3 (0.8)	26.292* (14.357)	−6.6 (2.4)	1.8 (1.8)	39.6 (2.1)	48.024*** (14.648)	17.9 (2.8)	34.0 (2.3)	52.4 (2.0)
TECH	4.230*** (0.890)	5.537* (2.814)	7.490*** (1.513)	5.047** (2.273)	4.089** (1.654)	5.8 (0.4)	4.0 (0.3)	−0.5 (0.3)	0.720 (2.460)	0.5 (0.4)	0.2 (0.3)	−0.3 (0.4)	−1.439 (2.574)	1.1 (0.5)	1.2 (0.4)	−5.0 0.3
DY	−0.736* (0.414)	2.435* (1.260)
LN PER	1.008* (0.545)		2.520** (0.888)		−2.261** (0.981)	−1.8 (0.2)	−1.7 (0.2)	−2.8 (0.2)
LN ASSET		−5.186** (2.478)	−2.903** (1.245)	−4.899** (1.957)					−1.524* (0.837)	0.0 (0.1)	−0.2 (0.1)	−2.0 (0.1)	−11.457*** (3.388)	−6.3 (0.6)	−6.5 (0.5)	−8.6 (0.5)
LN BV		5.205** (2.338)	2.675** (1.204)	4.476** (1.883)									9.377** (3.469)	5.1 (0.7)	4.7 (0.5)	6.5 (0.5)
ROA									−0.246* (0.128)	−7.7 (2.1)	−6.5 (1.6)	−3.4 (1.9)	−0.685*** (0.183)	−36.3 (3.4)	−39.3 (2.8)	−45.2 (2.5)
ROE													0.089* (0.048)	6.9 (0.9)	4.8 (0.7)	3.3 (0.6)
Observations	87	96	83	96	87	87	87	87	100	100	100	100	96	96	96	96
R-squared	0.284	0.131	0.368	0.134	0.119	0.179	0.181	0.428	0.061	0.000	0.071	0.651	0.225	0.761	0.738	0.715

Note: Standard errors in brackets. ***p < 0.01, **p < 0.05, *p < 0.1. Only significant results are included. LN refers to the natural logarithm of the corresponding variable.

Source: the authors.

Table 4. OLS and quantile (Q) regression analysis of the cumulative abnormal returns (CARe) to the first vaccine announcement: TECH sector versus other sectors.

	PANEL B: Dependent Variables: CARe from the first vaccine
	[−1,1]				[−1,2]	[−1,5]	[−1,10]	[−1,15]
	OLS	Q:0.25	Q:0.50	Q:0.75	OLS	OLS	OLS	OLS
Constant	2.488** (1.220)	−3.2 (0.1)	0.8 (0.2)	6.0 (0.2)	1.747* (1.020)	3.127** (1.396)	4.718*** (1.300)	4.399** (1.560)
TECH	−4.367** (1.647)	−2.1 (0.2)	−2.4 (0.2)	−3.6 (0.2)	−3.086** (1.289)	−4.529** (1.764)	−3.788* (1.916)	−4.402* (2.300)
DY	1.647** (0.669)	198.6 (8.2)	217.4 (8.4)	165.9 (9.6)	1.541** (0.560)	1.724** (0.766)
Observations	100	100	100	100	100	100	100	100
R-squared	0.138	0.104	0.096	0.082	0.132	0.117	0.038	0.036

Note: Standard errors in brackets. ***p < 0.01, **p < 0.05, *p < 0.1. Only significant results are included.

Source: the authors.

Table 5. OLS and quantile (Q) regression analysis of the cumulative abnormal returns (CARe) to the COVID-19 pandemic announcement of the main non-TECH sectors versus the TECH sector.

	PANEL A: Dependent Variables: CARe from COVID-19
	[−1,1]	[−1,5]	[−1,10]	[−1,15]	[−1,20]				[−1,25]				[−1,30]
	OLS	OLS	OLS	OLS	OLS	Q:0.25	Q:0.50	Q:0.75	OLS	Q:0.25	Q:0.50	Q:0.75	OLS	Q:0.25	Q:0.50	Q:0.75
Constant	−2.133 (2.270)	−35.129** (14.201)	0.782 (10.101)	2.059 (1.291)	7.160** (3.621)	−0.6 (0.7)	4.9 (0.5)	16.9 (0.7)	0.616 (1.308)	−6.7 (0.2)	−1.6 (0.2)	5.4 (0.2)	39.283** (14.619)	17.8 (2.3)	32.2 (2.3)	25.2 (2.2)
HC	−4.487*** (1.256)		−7.121*** (2.077)										6.804** (3.346)	0.8 (0.5)	5.6 (0.5)	9.3 (0.5)
CC	−4.912*** (1.236)	−14.763*** (3.230)	−9.223*** (2.269)	−13.611*** (2.682)	−7.202*** (2.092)	−6.2 (0.4)	−6.9 (0.3)	−7.3 (0.4)	−9.625** (3.001)	−7.0 (0.4)	−3.4 (0.4)	−6.1 (0.5)	−7.603** (3.099)	−9.2 (0.5)	−7.8 (0.5)	0.0 (0.5)
OS	−3.284** (1.243)		−6.590** (2.094)	−5.697** (2.739)
DY	−0.784* (0.419)
LN PER	1.092** (0.556)		2.627** (0.899)		−1.704* (0.964)	−1.0 (0.2)	−1.0 (0.1)	−3.1 (0.2)
LN NR		2.289** (0.982)
LN ASSETS			−2.507* (1.354)										−2.101** (0.846)	−1.4 (0.1)	−1.8 (0.1)	−1.1 (0.1)
LN BV			2.210* (1.304)
ROA													−0.388** (0.125)	−9.3 (1.9)	−14.6 (1.9)	−33.7 (1.9)
Observations	87	90	83	100	87	87	87	87	100	100	100	100	100	100	100	100
R-squared	0.295	0.235	0.377	0.216	0.172	0.224	0.266	0.492	0.095	0.063	0.022	0.063	0.247	0.767	0.732	0.443

Note: Standard errors in brackets. ***p < 0.01, **p < 0.05, *p < 0.1. Only significant results are included. LN refers to the natural logarithm of the corresponding variable.

Source: the authors.

Table 6. OLS and quantile (Q) regression analysis of the cumulative abnormal returns (CARe) to the first vaccine announcement of the main non-TECH sectors versus the TECH sector.

	PANEL B: Dependent variables: CARe from the first vaccine
	[−1,1]				[−1,2]	[−1,5]	[−1,10]	[−1,15]
	OLS	Q:0.25	Q:0.50	Q:0.75	OLS	OLS	OLS	OLS
Constant	−1.187 (1.000)	−3.9 (0.1)	−0.1 (0.1)	4.0 (0.1)	−0.57 (0.834)	−0.712 (1.148)	−0.141 (1.208)	0.784 (1.244)
CC	7.358*** (1.890)	0.0 (0.3)	4.6 (0.2)	0.0 (0.2)	5.720*** (1.576)	7.762*** (2.171)	9.035*** (2.283)	8.368*** (2.854)
DY	1.963*** (0.646)	174.8 (9.3)	193.9 (7.9)	150.9 (7.0)	1.773*** (0.539)	2.054*** (0.742)	1.647** (0.780)
Observations	100	100	100	100	100	100	100	100
R-squared	0.193	0.091	0.126	0.067	0.190	0.167	0.166	0.081

Note: Standard errors in brackets. ***p < 0.01, **p < 0.05, *p < 0.1. Only significant results are included.

Source: the authors.