A coronavirus outbreak and sector stock returns: a tale from the first ten weeks of 2020

ABSTRACT

This paper examines early impacts of the COVID-19 outbreak on stock returns of 11 sectors using the firm-level stock price data from 10 countries. Results show that investors across sectors and countries respond differently during the outbreak. Communication Services, Consumer Staples, Health Care, Information Technology, and Utilities sectors consistently perform relatively well, compared to other sectors, in all countries except Italy, Japan and U.S. Conversely, Energy sector suffers greatest abnormal negative returns, among all sectors, in countries including Canada, Italy, U.K. and U.S. Furthermore, Japan and U.S. have highest numbers of abnormally and negatively affected sectors.

KEYWORDS:

• Coronavirus
• COVID-19
• event study
• industry stock returns
• sector stock returns

JEL CLASSIFICATION:

• G14
• I15

Data availability statement

Firm-level data used in this study are subject to third party restrictions. The data are available from S&P Global Market Intelligence (through https://www.capitaliq.com/) but restrictions apply to the availability of these data, which were used under license for the current study, and so are not publicly available. Data are however available from the authors upon reasonable request and with permission of S&P Global Market Intelligence.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ https://www.fda.gov/emergency-preparedness-and-response/coronavirus-disease-2019-covid-19/covid-19-frequently-asked-questions

² Data are from World Health Organization website: https://covid19.who.int/

³ Energy researchers commonly acknowledge a positive relation between oil prices and the equity price of oil and gas firms (see e.g. Mohanty and Nandha 2011; Nandha and Faff 2008; Sadorsky 2001). The author thanks his colleague, Professor Alev Yildirim, for the valuable suggestion on Energy sector.

⁴ Data on WTI Crude Oil Prices are from https://fred.stlouisfed.org/