COVID-19 and March 2020 Stock Market Crash. Evidence from S&P1500
By M. Mazur, Man Dang, Miguel Vega. Social Science Research Network, 2020
726 citations recorded by the source corpus.
This paper investigates the US stock market performance during the crash of March 2020 triggered by COVID-19. We find that natural gas, food, healthcare, and software stocks earn high positive returns, whereas equity values in petroleum, real estate, entertainment, and hospitality sectors fall dramatically. Moreover, loser stocks exhibit extreme asymmetric volatility that correlates negatively with stock returns. Companies react in a variety of different ways to the COVID-19 revenue shock. The analysis of the 8K and DEF14A filings of poorest performers reveals departures of senior executives, remuneration cuts, and (most surprisingly) newly approved cash bonuses and salary increases.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/dbe020a926b44f5bde811921254fafac9f1293e9
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Citations in the corpus
- To what extent does COVID-19 drive stock market volatility? A comparison between the U.S. and China (2021, neutral): “Mazur et al. (2021) also investigated the asymmetric relationship between stock price return and volatility in specific companies that were affected by COVID-19; however, no empirical evidence regarding this effect has been presented in the macro financial market.”
- The impact of investor attention during COVID-19 on investment in clean energy versus fossil fuel firms (2021, background): “During the period of our study, these three stock market crashes that took place on 9 March, 12 March, and 16 March 2020 substantially influenced the global stock market, and this inevitably affects the returns of energy firms (Mazur et al., 2020).”