COVID–19’s Impact on Stock Returns - An Event Study Based on the Pakistan Indices
2020
In this paper, the researchers aim to examine the impact of COVID-19 on stock returns of three indices of Pakistan namely KSE-100 index, KSE-30 index and KMI-30 index. We used an event study methodology to observe the company wise stock returns reaction the COVID-19 pandemic. The study used 61 days of event window including event date as well and 160 days of estimation period. The study found that there is a negative significant impact of COVID-19 on stock returns in the post-event window. The stock returns show a significant negative relationship in the post-event window.
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