Spatial tale of G-7 and BRICS stock markets during COVID-19: An event study
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Author(s)Sanket LedwaniLink to ORCID Index: https://orcid.org/0000-0002-3493-2186
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Suman ChakrabortyLink to ORCID Index: https://orcid.org/0000-0002-3999-7181
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Sandeep S. ShenoyLink to ORCID Index: https://orcid.org/0000-0002-9848-9718
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DOIhttp://dx.doi.org/10.21511/imfi.18(2).2021.03
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Article InfoVolume 18 2021, Issue #2, pp. 20-36
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496 Downloads
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Creative Commons Attribution 4.0 International License
The unprecedented outbreak of COVID-19 has affected every aspect of the human life, be it health, social, or economic dimensions. The anxiety and uncertainty wobbled the economies of affected countries worldwide. This study attempts to quantify the impact of COVID-19 on the performance of major stock markets of G-7 nations vis-à-vis BRICS nations. An event study methodology is employed to capture the effect of the systematic event in the form of Buy and Hold Abnormal Returns (BHAR) and Average Buy and Hold Abnormal Returns (ABHAR). The study considers a 90-day observation window, consisting of six sub-event windows after the COVID-19 news up-doves the world, and 120 days prior to the selected event date to estimate average expected returns. BHAR values in the four event windows are statistically significant, covering stock markets from panic and nosedive to their correction and recovery. ABHAR values reported are significantly negative in the event window ranging from –0.15% to –38.43% for G-7 and –0.06% to –37.12% for BRICS nations. Despite similar ABHAR trends, the BHAR values and correlation matrix exhibit a diverse reaction in BRICS nations compared to the highly synchronized reaction in the G-7 group of nations in the COVID period.
- Keywords
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JEL Classification (Paper profile tab)G01, G11, G14, G15
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References40
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Tables12
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Figures7
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- Figure 1. Abnormal returns for G-7 in the observation window (0-89)
- Figure 2. Abnormal returns for BRICS in the observation window (0-89)
- Figure 3. ABHAR values in the observation window for G-7 and BRICS
- Figure 4. BHAR of G-7 nations for the observation window
- Figure 5. BHAR of BRICS nations for the observation window
- Figure B1. Choice of ABHAR and CAAR(G-7)
- Figure B2. Choice of CAAR and ABHAR (BRICS)
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- Table 1. List of countries, representative indices, and stock markets
- Table 2. Mean returns and standard deviation of G-7 and BRICS
- Table 3. BHAR in the event window (0-14) for G-7 and BRICS
- Table 4. BHAR in the event window (15-29) for G-7 and BRICS
- Table 5. BHAR in the event window (30-44) for G-7 and BRICS
- Table 6. BHAR in the event window (45-59) for G-7 and BRICS
- Table 7. BHAR in the event window (60-74) for G-7 and BRICS
- Table 8. BHAR in the event window (75-89) for G-7 and BRICS
- Table 9. Correlation matrix of G-7 nations in the estimation period and event window
- Table 10. Correlation matrix of BRICS nations in the estimation period and event window
- Table A1. ABHAR values with t-Stats for G-7 and BRICS except for China for a 90-day window
- Table A1 (cont.). ABHAR values with t-Stats for G-7 and BRICS except for China for a 90-day window
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The impact of COVID-19 on the transportation and logistics industry
Dalia Perkumiene ,
Agbonmere Osamede ,
Regina Andriukaitienė ,
Olegas Beriozovas
doi: http://dx.doi.org/10.21511/ppm.19(4).2021.37
Problems and Perspectives in Management Volume 19, 2021 Issue #4 pp. 458-469 Views: 6348 Downloads: 10166 TO CITE АНОТАЦІЯIn this present age of globalization, the logistics and transportation industry has become an integral part of most businesses/firms as it is aimed at ensuring the effective movement of people, distribution of goods and services from one location to another on time. Therefore, this paper aims to analyze the impact of COVID-19 on the logistics and transportation sectors. The qualitative research approach was adopted using analysis and synthesis of scientific literature, data from news reports, organizational sites, and a case study of data contents. The paper presented the analysis of negative and positive effects of COVID-19 on the logistics and transportation industry. The study also discusses possible strategies and further steps for improvement of the logistics and transportation sector, including the automation and introduction of other technologies, a sustainable and flexible transportation system, cooperation of logistics and transportation business. Findings regarding the positive implications of COVID-19 show noticeable advancements in the logistics and transportation sector, such as the rise of e-commerce businesses with efficient delivery options, and the development of 3rd party logistics services as more companies outsource supply chain operations. The study revealed the importance of strategic planning with a joint effort from the research centers, public sector, private sector, and educational institutions as one of the proposed solutions for the logistics and transportation industry.
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The impact of social distancing policy on small and medium-sized enterprises (SMEs) in Indonesia
Muhtar Lutfi ,
Pricylia Chintya Dewi Buntuang ,
Yoberth Kornelius ,
Erdiyansyah ,
Bakri Hasanuddin
doi: http://dx.doi.org/10.21511/ppm.18(3).2020.40
Problems and Perspectives in Management Volume 18, 2020 Issue #3 pp. 492-503 Views: 3760 Downloads: 1352 TO CITE АНОТАЦІЯThis study aims to investigate the impact of social distancing policies on SMEs in Indonesia. It used a quantitative method with a survey design. Respondents were all SMEs in Indonesia that are affected by social distancing policies during the COVID-19 pandemic. It involved a total of 587 SME samples selected randomly. The data were collected through observations, questionnaires, and literature studies. The collected data were analyzed using descriptive statistics with SPSS software to determine the mean value. The result showed that social distancing policies affect SMEs during the COVID-19 pandemic. This is indicated by the decreasing income and demand for SMEs products, and even some have no income (mean values of 2.40) due to the social distancing policies. Besides, the policy’s impact is also shown in the increasing cost of raw materials and production costs due to supply chain problems (mean values of 4.79). The policy’s impact raises anxiety for SMEs to survive so that business actors change their plans by utilizing information technology (mean values of 4.81). This change is a strategy to survive due to the impact of the applied policies. Although social distancing policies affect SMEs’ survival during the pandemic, research findings show that SMEs in Indonesia did not terminate employment (mean values of 4.37) due to the presence of economic stimulus policies that helped SMEs survive and grow during the COVID-19 pandemic.
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Selection of the right proxy market portfolio for CAPM
Rashmi Chaudhary ,
Priti Bakhshi
doi: http://dx.doi.org/10.21511/imfi.18(3).2021.02
Investment Management and Financial Innovations Volume 18, 2021 Issue #3 pp. 16-26 Views: 3050 Downloads: 1540 TO CITE АНОТАЦІЯThe purpose of the paper is to select the right market proxy for calculating the expected return, since critically evaluating proxies or selecting the correct proxy market portfolio is essential for portfolio management because the change in the market portfolio proxy affects returns. In this study, monthly data of equity indices are evaluated to find out the better market proxy. The indices taken are BSE 30 (Sensex), Nifty 50, BSE 100, BSE 200, and BSE 500. The macroeconomic variables used in the study are industrial production index (IIP), consumer price index (CPI), money supply (M1), and exchange rate in India. To avoid the influence of COVID-19, the research period was from January 2013 to December 2019 to critically evaluate these proxies in order to find the most appropriate market proxy. This paper reveals a noteworthy relationship between stock market returns and macroeconomic factors, while suggesting that the BSE 500 is a better choice for all equity indices, as the index also shows a significant relationship with all macroeconomic variables. BSE500 is a composite index comprising all sectors with low, mid and large cap securities, therefore it reflects the impact of macroeconomic factors most efficiently, taking it as a market proxy. This study was carried out in the context of India and can be replicated for other countries.
