The impact of COVID-19, lockdowns, and vaccines on the Philippine stock market
Date
2022-02
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
This paper examines the effect of the COVID-19 pandemic on stock returns and stock
volatility of firms listed in the Philippine Stock Exchange (PSE). We apply fixed
effects panel data regression to analyze the impacts of the growth rates of COVID-19
cases and deaths as well as the different levels of lockdowns on stock returns. As an
extended analysis, we incorporate the growth rate of COVID-19 vaccine doses
administered as a control for pharmaceutical intervention. We also estimate the
impacts of COVID-19 on stock returns at the sectoral level. The study covered the
period January 30, 2020 to September 15, 2021. The results show that the growth
rates of COVID-19 cases and deaths have negative effects on stock returns, while the
lockdowns in general positively impact stock returns when not controlling for vaccine
administration. The results also show that the growth rates of COVID-19 confirmed
cases and deaths increase stock volatility and that stricter lockdowns decrease
volatility in the presence of effective pharmaceutical interventions.
Description
Keywords
COVID-19, pandemic, stock market, stock returns, votality, lockdown, community quarantine, vaccine