Title: Impact of novel coronavirus outbreak-related announcements on pharmaceutical stocks: empirical evidence from an emerging market

Authors: Vineeta Kumari; Varun Kumar Rai; Dharen Kumar Pandey

Addresses: P.G. Department of Commerce, Magadh University, Bodh Gaya, Bihar, 824234, India ' Department of Commerce, Delhi School of Economics, University of Delhi, Delhi, 110007, India ' P.G. Department of Commerce, Magadh University, Bodh Gaya, Bihar, 824234, India

Abstract: This study uses the event study method to examine the impact of COVID-19 outbreak-related announcements on the returns and volatility of 74 exchange-listed Indian pharmaceutical stocks. We find significant negative effects of pandemic-related announcements on stock returns and volatility in an emerging market, particularly during the declaration of a global pandemic. Further, small-cap stocks are hit harder than large-cap and mid-cap stocks. We also use abnormal volatility to assess the outbreak's impact on market volatility. We also find waning effects in the post-event window analysis. Our findings are consistent with current literature.

Keywords: event study; market model; abnormal return; abnormal volatility; emerging market; COVID-19; global pandemic.

DOI: 10.1504/IJMEF.2023.130216

International Journal of Monetary Economics and Finance, 2023 Vol.16 No.1, pp.40 - 57

Accepted: 05 Jun 2022
Published online: 06 Apr 2023 *