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International review of financial analysis
Nov, 2021;78 101888.

COVID-19 Pandemic and firm-level dynamics in the USA, UK, Europe, and Japan.

Wasim Ahmad, Ali M Kutan, Rishman Jot Kaur Chahal, Ruth Kattumuri
Author Information
  1. Wasim Ahmad: Department of Economic Sciences, Indian Institute of Technology Kanpur, India.
  2. Ali M Kutan: Department of Economics and Finance, Southern Illinois University Edwardsville, USA.
  3. Rishman Jot Kaur Chahal: Department of Humanities and Social Sciences, Indian Institute of Technology Roorkee, Roorkee, Uttarakhand 247667, India.
  4. Ruth Kattumuri: LSE India Observatory, London School of Economics and Political Science (LSE), London, UK.
PMID: 36532661 DOI: 10.1016/j.irfa.2021.101888

Abstract

This paper examines the impact of the coronavirus pandemic during its first and second waves for the USA, UK, Europe, and Japan. We explore the firm-level dynamics and exhibit the impact of coronavirus events on large and small firms and firms' idiosyncratic risk. We find that the intensity of the impact of the coronavirus pandemic events is not uniform for firms. The Blank Swan events in March 2020 exhibit stronger impact the second wave till April 2021. The second wave analysis reveals the sign of recovery and receding effect of the pandemic. The idiosyncratic analysis shows the positive impact of the coronavirus and stringency measures on the idiosyncratic risk.

Keywords

COVID-19 Event study Idiosyncratic risk Stock returns Structural break

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Journal Article
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