COVID-19 Vaccines, Healthcare Policies and Stock Markets: Are There Winners and Losers?

Figures & data

Table 1 Top ten Pharmaceutical Companies by Revenues in 2020

Company	Total Revenues in 2020 (Billions US Dollars)	Main Stock Market of Operation and Currency
1. Johnson & Johnson	56.10	NYSE, US dollars
2. Pfizer	51.75	NYSE, US dollars
3. Roche	49.23	Zurich, Swiss francs
4. Novartis	47.45	NYSE, US dollars
5. Merck & Co.	46.84	NYSE, US dollars
6. GlaxoSmithKline	44.27	LSE, British pounds
7. Sanofi	40.46	Paris, Nasdaq, euros
8. AbbVie	33.26	NYSE, US dollars
9. Takeda Pharmaceuticals	30.52	Tokio, Nasdaq, Yen
10. Shanghai Pharmaceuticals Holding	26.69	Shanghai, yuan

Note: https://www.pharmaceutical-technology.com/features/top-ten-pharma-companies-in-2020/.

Figure 1 Evolution of the NYSE Composite and company share prices and the NYSE Composite, June 6, 2019- December 31, 2021.

Note: Closing values in all cases.

Table 2 Descriptive Statistics, Company Returns

January 1, 2020 – December 31, 2021
Variable	Obs	Mean	Std. Dev.	Min	Max
Pfizer	505	0.001	0.02	−0.081	0.103
Moderna	505	0.005	0.057	−0.198	0.245
J&J	505	0	0.015	−0.076	0.077
AbbVie	505	0.001	0.018	−0.139	0.084
AZ	505	0	0.019	−0.112	0.08
Merck	505	0	0.018	−0.104	0.08
Novartis	505	0	0.015	−0.103	0.072
Sanofi	505	0	0.016	−0.092	0.067
Novavax	505	0.007	0.086	−0.326	0.537
January 1, 2020 - July 26, 2020
Pfizer	142	0	0.026	−0.081	0.086
Moderna	142	0.009	0.071	−0.198	0.245
J&J	142	0	0.024	−0.076	0.077
AbbVie	142	0.001	0.026	−0.139	0.084
AZ	142	0.001	0.026	−0.112	0.08
Merck	142	−0.001	0.025	−0.093	0.075
Novartis	142	−0.001	0.022	−0.103	0.072
Sanofi	142	0	0.023	−0.092	0.067
Novavax	142	0.025	0.115	−0.326	0.537
July 27, 2020 - December 31, 2021
Pfizer	363	0.001	0.017	−0.054	0.103
Moderna	363	0.003	0.05	−0.197	0.187
J&J	363	0	0.01	−0.036	0.027
AbbVie	363	0.001	0.014	−0.073	0.072
AZ	363	0	0.015	−0.081	0.063
Merck	363	0	0.014	−0.104	0.08
Novartis	363	0	0.011	−0.047	0.054
Sanofi	363	0	0.012	−0.039	0.062
Novavax	363	0	0.07	−0.218	0.5

Notes: Returns computed as log p – log p-1. Returns computed with daily closing prices.

Abbreviations: J&J, Johnson and Johnson; AZ, Astra Zeneca.

Table 3 PairwiseCorrelations, Company Returns

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)
(1) Pfizer	1.000
(2) Moderna	0.152	1.000
	(0.000)
(3) J&J	0.540	0.074	1.000
	(0.000)	(0.041)
(4) AbbVie	0.460	0.022	0.455	1.000
	(0.000)	(0.548)	(0.000)
(5) AZ	0.413	0.078	0.467	0.423	1.000
	(0.000)	(0.032)	(0.000)	(0.000)
(6) Merck	0.461	0.025	0.567	0.489	0.480	1.000
	(0.000)	(0.485)	(0.000)	(0.000)	(0.000)
(7) Novartis	0.487	0.072	0.578	0.514	0.576	0.541	1.000
	(0.000)	(0.049)	(0.000)	(0.000)	(0.000)	(0.000)
(8) Sanofi	0.450	0.075	0.516	0.436	0.574	0.475	0.621	1.000
	(0.000)	(0.040)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)
(9) Novavax	0.101	0.356	0.033	0.034	0.092	0.027	0.079	0.075	1.000
	(0.006)	(0.000)	(0.367)	(0.352)	(0.011)	(0.453)	(0.030)	(0.038)
(10) NYSE Index	0.464	0.067	0.598	0.538	0.473	0.537	0.632	0.539	0.127	1.000
	(0.000)	(0.065)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)	(0.000)

Notes: P values in parentheses. p < 0.1: significant at 90%. p < 0.05: significant at 95%. p < 0.01: significant at 99%. Novartis and Sanofi and Novartis and the NYSE Index exhibit the highest pairwise correlation coefficients (>0.6).

Table 4 CAARs, Biopharmaceutical Companies, January–June 2020

Co/Day	21/1	14/2	25/2	29/2	8/3	13/3	24/3	01/5	11/5	27/5
Pfizer	0.71	−4.97*	4.55	8.53***	4.78	11.81***	−10***	2.6	0.34	−8.5**
P value	0.81	0.08	0.17	0.001	0.11	0.0036	0.002	0.48	0.93	0.03
Moderna	5.72	−24.7***	47.8***	15.87**	−1.98	46.43***	−13.02	−0.01	24.95*	−18.33
P value	0.52	0.005	0	0.048	0.83	0.0001	0.19	0.99	0.07	0.18
J&J	1.48	−2.68	−3.84	−0.4	2.78	7.47**	−13.5***	−3.03	−0.13	−3.66
P value	0.63	0.36	0.25	0.88	0.35	0.039	0	0.37	0.97	0.34
ABBVie	−5.21	−1.35	5.63	3.95	10.42**	2.39	−6.87	2.23	6.32	−4.34
P value	0.32	0.78	0.31	0.37	0.04	0.69	0.18	0.65	0.20	0.38
AstraZeneca	−2.51	−3.26	−5.48	2.95	3.93	−3.76	1.87	5.83*	0.6	−1.38
P value	0.45	0.31	0.14	0.31	0.24	0.35	0.56	0.09	0.87	0.72
Merck	−4.43	−4.41	2.4	3.91	8.93***	3.58	−5.3*	−7.13**	3.76	0.2
P value	0.16	0.14	0.49	0.15	0.005	0.35	0.09	0.026	0.28	0.96
Novartis	−0.4	−1.59	−8***	0.09	4.26*	1.35	0.75	−3.3	0.32	−2.28
P value	0.87	0.5	0.0034	0.97	0.08	0.65	0.75	0.2	0.9	0.42
Sanofi	−4.51	−1.89	−0.81	3.3	1.7	5.17	−4.66	−1.49	−2.15	0.29
P value	0.16	0.58	0.83	0.28	0.63	0.22	0.19	0.67	0.56	0.94
Novavax	67.97***	13.69	63.4***	35.39**	−14.6	−17.67	29.01	−22.18	74.66***	−6.09
P value	0.0001	0.38	0	0.015	0.5	0.51	0.19	0.35	0.002	0.8
Type of evento	Novavax developing vaccine/COVID-19 expands	First death in Europe	Clinical trials remdesivir	First death in US	Travel restrictions	Aid package	Delay Olimpics	Remdesvir authorization	Aid package	New data on deaths
Sign of evento	±	-	+	-	-	+	-	+	+	-

Notes: CAAR in per cent. Window: (−3, 3). Model: SIM. Diagnostic test: normality. *Significant at 90%. **Significant at 95%. ***Significant at 99%, significant CAARs are highlighted in bold.

Table 5 CAARs, Biopharmaceutical Companies, November 2020-April 2021

Co/day	9.11.20	11.11.20	12.11.20	16.11.20	23.11.20	24.11.20	25.11.20	27.11.20	28.11.20	11.12.20	18.12.20	06.01.21	29.01.21	27.02.21	19.03.21	07.04.21
Pfizer	0.69	−0.9	1.09	1.79	2.46	4.76	7.55*	9.27**	10***	−8.5**	−5.1	0.98	−6.1	2.41	3.09	0.96
P value	0.86	0.82	0.78	0.65	0.53	0.22	0.052	0.017	0.004	0.029	0.2	0.80	0.14	0.52	0.44	0.81
Moderna	21	28.5**	22.22	16.96	28**	51***	39***	35.2**	32.2**	−17.95	−20.14	1.92	8.3	−16.34	−12.44	2.74
P value	0.14	0.04	0.11	0.23	0.047	0	0.006	0.012	0.013	0.2	0.15	0.89	0.56	0.21	0.38	0.84
J&J	3.56	3.93	1.42	1.6	−4.89	−2.83	−1.15	−0.48	2	0.21	1.12	0.14	−2.99	−2.1	2.8	−3.2
P value	0.3	0.25	0.68	0.64	0.15	0.41	0.73	0.89	0.53	0.95	0.74	0.97	0.37	0.48	0.4	0.33
ABBVie	6.53	0.53	2.57	0.23	4.1	4.55	2.68	2.05	1.61	−1.52	−2.13	0.88	−3.16	0.79	−4.81	−1.98
P value	0.15	0.9	0.57	0.96	0.36	0.31	0.55	0.65	0.7	0.73	0.64	0.85	0.49	0.84	0.28	0.65
AZ	5.67	−2.16	−4.95	5.95	−6.1	−3.46	−3.78	−5.64	−3.74	−7.21*	−3.96	−1.68	−7.68*	−4.1	1.69	−2.22
P value	0.19	0.62	0.25	0.17	0.15	0.41	0.37	0.19	0.34	0.09	0.36	0.7	0.086	0.31	0.7	0.61
Merck	0.34	−4.21	−2.16	1.6	−3.11	−0.69	0.17	0.1	1.1	−3.43	−1.48	3.4	−4.24	−0.84	2.41	−2.34
P value	0.92	0.24	0.55	0.65	0.38	0.85	0.96	0.97	0.74	0.32	0.68	0.34	0.22	0.79	0.48	0.49
Novartis	2.36	−0.97	−1.19	2.76	2.64	4.97	2.76	3.05	4.02	−0.6	−3.1	−1.79	−9***	1.9	2.93	0.91
P value	0.44	0.75	0.69	0.36	0.38	0.1	0.36	0.32	0.15	0.84	0.31	0.56	0.002	0.5	0.34	0.76
Sanofi	3.61	−3.16	−1.54	0.35	0.29	−1.82	−1.48	−1.66	0.45	−6.16	0.8	−2.78	−5.37	−1.52	1.56	0.18
P value	0.35	0.41	0.69	0.93	0.93	0.63	0.7	0.66	0.9	0.1	0.84	0.47	0.16	0.67	0.68	0.96
Novavax	−0.2	−11.4	−5.12	2.7	23.48	37.21	28.82	30.03	23.29	−7.36	−7.58	−8.62	72***	−32.06	−13.24	−10.06
P value	0.99	0.63	0.82	0.91	0.31	0.111	0.21	0.2	0.28	0.75	0.74	0.7	0.001	0.12	0.56	0.66
Type of event	Phase III result, Pfizer			Phase III result, Moderna			Deal EU Moderna			FDA approves Pfizer vaccine	FDA approves Moderna vaccine	EU approves Moderna vaccine	Phase III results J&J and Novavax	FDA approves J&J vaccine	Embolic events in AZ vaccine	Clots from AZ vaccine considered rare
Expected sign of event	+			+			+			+	+	+	±	+	-	+

Notes: CAAR in per cent. Window: (−3, 3). Model: SIM. Diagnostic test: normality. *Significant at 90%. **Significant at 95%. ***Significant at 99%. Significant CAARs highlighted in bold.

Abbreviation: AZ, Astra Zeneca.

Figure 2 Net abnormal results by companies and subperiods (%). Top panel: First subperiod. COVID-19 pandemic announcements. Bottom panel: Second subperiod. COVID-19 vaccines announcements.

Notes: Net abnormal results (in per cent) are computed as the sum of the CAAR displayed in Table 4 and Table 5. Only significant CAARs are considered.

Table 6 CAARs, Biopharmaceutical Companies, Events Related to Government Purchase Agreements (July–August 2020)

Co/day	20.7.20	22.7.20	11.8.20	13.8.20	14.8.20
Pfizer	6.5	4.7	−1.33	−0.47	0.03
P value	0.11	0.25	0.74	0.9	0.99
Moderna	−2.67	−5.51	−12.34	13.16	−8.77
P value	0.86	0.7	0.4	0.36	0.54
J&J	−1.6	−2.6	−1.1	0.12	1.34
P value	0.67	0.49	0.77	0.97	0.71
ABBVie	−4.34	−4.59	0.25	1.31	3.11
P value	0.39	0.36	0.96	0.79	0.52
AZ	−1.19	−3.32	−3.1	0.05	0.52
P value	0.78	0.43	0.46	0.99	0.9
Merck	−2.97	−1.72	1.38	3.52	4.87
P value	0.43	0.65	0.71	0.35	0.19
Novartis	−5.52*	−4.17	0.52	2.42	3.51
P value	0.07	0.18	0.87	0.44	0.26
Sanofi	−2.93	−3	−3.96	−0.32	0.88
P value	0.46	0.45	0.31	0.93	0.82
Novavax	16.16	8.46	−24.54	−22.58	−26.28
P value	0.519	0.73	0.32	0.36	0.28
Type of event	Agreement Pfizer-UK government	Agreement Pfizer -US government	Agreement Moderna -US government	Exploratory talks J&J-EU end successfully	Purchase deal EU-AZ signed
Expected sign of event	+	+	+	+	+

Notes: CAAR in per cent. Window: (−3, 3). Model: SIM. Diagnostic test: normality. *Significant at 90%. Significant CAAR in bold.

Abbreviation: AZ, Astra Zeneca.

Figure 3 Summary of findings of Event Analysis for COVID-19 announcements and COVID-19 vaccines announcements.

Notes: Events conveying bad news are highlighted in red, while those entailing good news are highlighted in green.