How has the announcement of the Covid-19 pandemic and vaccine impacted the market?

Abstract

[EN] As COVID-19 has hit the whole world hard, finding a vaccine that alleviates its effects has been one of the most anticipated events in 2020. This work studies the impact of the two main events in 2020 on companies' stock exchange activities: announcing COVID-19 as a world pandemic and announcing the first coronavirus vaccine. This study was carried out by an event study methodology using Nasdaq-100 data. Ordinary Least Squares (OLS) and quantile (Q) regression were used to obtain the returns expected from shares and to assess if there were any significant differences in the reactions of the analysed sectors on the market in each event window. The obtained empirical results show different share performances by sectors. Specifically, only those shares from the technology sector positively and significantly reacted to the first announcement. However, the opposite can be stated of the second event insofar as confidence in financial markets recovered to a greater extent in the sectors hardest hit by the first announcement. These conclusions are meaningful for companies, investors and governments to make better decisions or to adopt new policies.