关键词:
COVID-19
stock returns
firm characteristics
panel regression
Saudi Arabia
Saudi stock market
coefficients equality
Xibin Zhang, Monash University, Australia
Statistics for Business, Finance & Economics
Finance
Public Finance
INDEXES
GROWTH
RISK
SPECIFICATION
COEFFICIENTS
INVESTMENT
OWNERSHIP
COMPLIANT
EQUALITY
TESTS
摘要:
This paper investigates the impact of the spread of COVID-19 on the Saudi stock market. More particularly, this study examines the implications of the recent coronavirus on the overall stock returns, sectoral stock returns, and the stock returns of specific firm characteristics: market capitalization, book-to-market ratio, profitability, investment growth, and Islamic compliance. The sample deployed in this study covers the weekly data from 3 March 2020 until 25 May 2021, with 62 observations for 183 stocks. For each firm characteristic, all the stocks in our sample were divided into three subsamples using the 35th and 65th quantiles as breakpoints, specifically to examine the implications of COVID-19 for different firm characteristics. Then, panel regression analysis and Wald tests were applied to test the devised hypotheses. A negative impact of COVID-19 was recorded for all market capitalization groups, and the impact was the same on small and large market capitalization stocks, whereas the worst was on medium stocks. The outcome also indicated that less profitable stocks were more vulnerable to COVID-19 than other profitability groups. Furthermore, the impact of COVID-19 on non-Islamic stocks was lower than that on Islamic stocks, which were affected the most by the contagion.