University of Twente Student Theses


The impact of COVID-19 on share prices across different sectors within the US stock market

Engbers, B.C. (2021) The impact of COVID-19 on share prices across different sectors within the US stock market.

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Abstract:The purpose of this study is to identify whether the sectors on the US stock market have perceived significant abnormal stock returns during the COVID-19 period. To execute this, a market model event study has been conducted. The sample consists of companies from the NYSE and the NASDAQ, and the sectors are retrieved from the Orbis data base and consist of a total of 28 BvD sectors. Since COVID-19 has not one clear event date, four different events have been analysed and 3 event windows per event to take pre-event leakage and delay in response time into consideration. The results show that the first three events experienced average negative abnormal returns, however, the third event has the strongest decrease: -11.5% [-3,3] and -21.7% [-5,5]. Contrary to this, the stocks experienced positive returns during the fourth event window: +7.0% [-3,3] and +1.2% [-5,5]. For the sectoral returns, there are nine sectors which have experienced significant negative abnormal returns during the first three events: Banking Insurance and Financial Services (BIFS), Transport, Fright & Storage (TFS), Travel, Personal & Leisure (TPL), Business Services (BS), Metals & Metal Products (MMP), Mining & Extraction (ME), Textile & Clothing Manufacturing (TCM), Property Services (PS), and Wholesale
Item Type:Essay (Master)
Faculty:BMS: Behavioural, Management and Social Sciences
Subject:83 economics, 85 business administration, organizational science
Programme:Business Administration MSc (60644)
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