COVID-19 Pandemic and Stock Market Response: The Role of COVID-induced Fear, Investor Attention, and Firm-specific Characteristics

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Sahil Narang
Rudra P. Pradhan
Bhanwar Singh


The study examines the reaction of S&P BSE 500 companies to the outbreak of the 2019 novel coronavirus (COVID-19). The impact of COVID-19 induced fear of volatility index (VIX) on stock market returns and the role of pre-pandemic firm-specific characteristics in intensifying/reducing the effect of fear on stock returns are analysed. Event study methodology and panel data approach with firm and industry-time fixed effects are employed. The results show fear of VIX plays a significant role in the downfall and subsequent recovery of the stock market. It is witnessed the role of pre-pandemic firm- specific characteristics is heterogeneous in intensifying/reducing the effect of fear on stock returns. Investor attention (Google search volume) and the growth of COVID-19 cases are also crucial to the stock market movements during the study period.


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Sahil Narang, Savita, Rudra P. Pradhan, & Bhanwar Singh. (2023). COVID-19 Pandemic and Stock Market Response: The Role of COVID-induced Fear, Investor Attention, and Firm-specific Characteristics. Asian Academy of Management Journal, 28(1), 311–344.
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