Abstract

The massive contagion diseases such as COVID-19 amongst others, has affected nearly all the economies and business concerns that leads to substantial decline in the cashflows and returns dynamics. Considering the same, this paper intends to investigate the impact of outbreak of epidemic diseases on the stock return (observed through cumulative average abnormal return (CAAR)) for the listed banks in Pakistan from 2011 to 2020. Event study method was employed and five days pre and ten days post event of each disease were observed as an event window. The results confirm that none of the epidemic disease outbreak significantly determines the CAAR for all listed banks, except COVID-19 and Dengue Fever during the event day. There is a negative and significant impact of COVID-19 on the stock returns for all the banks in Pakistan from the event day to day eight except day seven. More specifically, COVID-19 is found to be a significant indicator for the stock returns of private banks. However, in case of public listed banks, only the outbreak of HIV cases possesses significant and positive impact on CAAR at the day of event. These findings would guide all stakeholders such as investors, financial analysts, regulators, and chief risk officers specifically in banks to make strategic decisions while analyzing the relationship between epidemic outbreaks and stock returns.

摘要

COVID-19 等大规模传染病已经影响了几乎所有的经济和商业问题，导致现金流和回报动态大幅下降。有鉴于此，本文拟调查2011-2020年疫情对巴基斯坦上市银行股票收益（通过累积平均异常收益（CAAR）观察）的影响。采用事件研究法，5天观察每种疾病的事件前和事件后十天作为事件窗口。结果证实，除了活动当天的 COVID-19 和登革热外，没有任何一场流行病的爆发显着决定了所有上市银行的 CAAR。从活动当天到第 8 天，除了第 7 天之外，COVID-19 对巴基斯坦所有银行的股票收益都产生了负面而重大的影响。更具体地说，发现 COVID-19 是私人银行股票收益的重要指标。然而，就上市银行而言，只有艾滋病病毒病例的爆发对事件当天的 CAAR 产生了显着和积极的影响。这些发现将指导投资者、金融分析师、监管机构和银行首席风险官等所有利益相关者在分析流行病爆发与股票收益之间的关系时做出战略决策。只有 HIV 病例的爆发在事件发生当天对 CAAR 产生了显着和积极的影响。这些发现将指导投资者、金融分析师、监管机构和银行首席风险官等所有利益相关者在分析流行病爆发与股票收益之间的关系时做出战略决策。只有 HIV 病例的爆发在事件发生当天对 CAAR 产生了显着和积极的影响。这些发现将指导投资者、金融分析师、监管机构和银行首席风险官等所有利益相关者在分析流行病爆发与股票收益之间的关系时做出战略决策。