COVID-19 Outbreak and Sectoral-Level Stock Returns in the Tehran Stock Exchange: An Event Study

Document Type : Research Paper


Assistant Professor, Department of Accounting, College of Humanities, West Tehran Branch, Islamic Azad University, Tehran, Iran


This article attempts to empirically investigate the impacts of the COVID-19 pandemic on average returns and investment risk of the 33 leading industries, categorized in nine groups of industries indexes, in Tehran Stock Exchange. Using an event-study methodology, our data sample (from 2018/12/15 to 2021/04/24) was partitioned into three sub-samples, namely estimated, event, and future windows. To address the main objectives of this study, variations in actual, abnormal, and cumulative abnormal returns of the estimated (pre-event) and future (post-event) windows were analyzed for all industries. The results confirmed that the “Retail except for Vehicles” and “Real State and Housing” industries have had the highest decrease in their average returns and, conversely, the “Telecommunication and Technology,” “Financial,” and “Pharmaceutical and Health” industries have experienced the most considerable increase in the average returns. Furthermore, the analysis of the time required for the effectiveness of the pandemic impacts on the stock returns showed that a 14-day lag (after the exposure) is needed for various industries to respond to the event. Ultimately, our empirical evidence confirmed that the uncertainty caused by the COVID-19 outbreak has negatively affected almost all industries active in the TSE.


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