Quantum mechanics

Context (archaeology)

Financial system

Ecology

Stock (firearms)

Efficient-market hypothesis

Biology

Financial market

Event (particle physics)

Stock market

Archaeology

Economics

Business

Coronavirus disease 2019 (COVID-19)

Physics

Position (finance)

Geography

Political science

Monetary economics

Infectious disease (medical specialty)

Internal medicine

Hedge

Financial economics

Medicine

Finance

Equity (law)

Hedge fund

Disease

Event study

Pathology

Economic Research-Ekonomska Istraživanja

The novel Covid-19 virus has changed the dynamics of 'flight to safety' investment for various economies. Thus, the hedging ability of the stocks must be revisited in the scenario of this pandemic. For this purpose, specifically understanding the importance of a semi-strong form of an efficient market hypothesis is important. This was to observe the speed at which the markets react to the news announcement, and how rapidly they absorb new information to regain thier position in the market. Hence, this study conducts an event study analysis on Pakistan's emerging market to detect the financial and non-financial stock price reactions towards the lockdown announcement, following the spread of Covid-19 in Pakistan. The daily data on the KSE-100 index for thirty different industries, comprising of ninety firms, spanning from December 12, 2019, till June 7, 2020, was collected and analyzed. The abnormal returns were recorded to be at around 21 [−10. +10] and 41 days [−20, +20] event window, around the day of the lockdown announcement. These abnormal returns were obtained through the market model regression. The data collected implied that most of the industries were stable and behaved well before the event day, while the affected sectors recovered fairly quickly. Therefore, it has been affirmed that Pakistan's equity portfolios are informationally efficient, and can benefit the investors during a pandemic.

Do financial and non-financial stocks hedge against lockdown in Covid-19? An event study analysis