The IUP Journal of Accounting Research and Audit Practices:
Impact of Covid-19 on Stock Returns: An Event Study of G20 Countries

Article Details
Pub. Date : April, 2023
Product Name : The IUP Journal of Accounting Research and Audit Practices
Product Type : Article
Product Code : IJARAP040423
Author Name : Meenu Maheshwari and Rupali Loke
Availability : YES
Subject/Domain : Finance
Download Format : PDF Format
No. of Pages : 15



Research on the impact of Covid-19 pandemic on stock returns has recently gained momentum. The stock exchanges are the heart of an economy, because they reflect the financial health of the countries. The stock markets world over crashed due to the instability caused by the pandemic, which reduced the confidence of investors. The paper investigates the impact of Covid-19 on the stock returns of G20 countries, using event study methodology. The study uses 60 days window period and 120 days estimation window period from the official announcement of Covid-19 first case (event). Among the 20 indices tested, only Nifty shows statistically significant negative abnormal returns, and the findings differ from country to country. Some G20 countries show statistically significant positive abnormal returns.


The Covid-19 pandemic has adversely impacted the economy and the financial system at the global level (Baker et al., 2020). According to the Global Financial Stability Report April 2020, Covid-19 has had a significant impact on Indian financial system, with the fastest drop in an equity market. According to the Fiscal Monitor 2020 Report, amid the Covid-19 crisis, governments introduced various supporting packages to protect the people and affected firms. Covid-19 outbreak is a macroeconomic shock that is considered a systematic risk; and systematic risk is not diversifiable. The market crash in 2008, due to the economic crisis, is considered a systematic risk. The spread of systematic risk creates imbalances in the economy and cripples the financial system (Smaga, 2014). Ashraf (2020) found that Covid-19 and the subsequent lockdowns, negatively impacted the stock market. Government restrictions on commercial activity majorly affected the US stock market; no other flu impacted the stock market so forcefully as Covid-19 did (Baker et al., 2020). Caporale et al. (2021) investigated the impact of Covid-19 on stock market returns and volatility of G20 countries. They found that government restrictions affected the stock market negatively more than the Covid-19 pandemic.