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.


Article Title [فارسی]

شیوع بیماری کرونا و بازدهی بین بخشی در بورس اوراق بهادار تهران: یک تحلیل تجربی

Authors [فارسی]

  • سمیرا زارعی
  • زهرا هنرمندی
استادیار حسابداری دانشکده علوم انسانی دانشگاه آزاد اسلامی واحد تهران غرب، ایران
Abstract [فارسی]

این مطالعه تلاشی است جهت تحلیل تجربی آثار پاندمی کرونا بر بازدهی متوسط و ریسک سرمایه­گذاری 33 شرکت برتر فعال در 9 گروه صنعتی در بازار سهام تهران، با تکیه بر رویکرد تحلیل رویدادی می­باشد. بازه زمانی تحقیق حاضر که مشتمل بر بازه­ی 24 آذر 1397 الی 4 اردیبهشت 1400 بوده و جهت پاسخ­گویی به مهمترین دغدغه­ی تحقیق، تغییرات در بازدهی واقعی، نامتعارف و نامتعارف تجمعی در دو دوره­ی زمانی پیش-از-وقوع (برآورد) و پس-از-وقوع (آتی) برای تمامی صنایع مورد ارزیابی قرار گرفت. نتایج حاصله تأیید نمودند که بازدهی متوسط صنایع «خرده­فروشی بجز وسایط نقلیه» و «املاک و مسکن» به شدت با کاهش مواجه شدند و برعکس آن، صنایع «مخابرات و تکنولوژیک»، «مالی» و «داروسازی و سلامت» افزایش قابل توجهی در بازدهی متوسط خود را تجربه نمودند. بعلاوه، تحلیل مدت زمان مورد نیاز جهت اعمال معنادار اثرات پاندمی کرونا بر بازدهی سهام نشان داد که یک دوره زمانی 14 روزه پس از وقوع پاندمی نیاز است تا صنایع مختلف، واکنش معناداری به واقعه شیوع بیماری کرونا بدهند. نهایتاً، نتایج تحقیق تأیید نمود که نااطمینانی­های به وجود آمده در اثر پاندمی کرونا، به طور منفی و معناداری بر بازدهی اغلب صنایع (به طور متوسط) فعال در بازار سهام تهران اثر گذاشته است.

Keywords [فارسی]

  • پاندمی کرونا
  • بازار سهام
  • تحلیل رویدادی
  • بازدهی واقعی
  • بازدهی نامتعارف
  • بازدهی نامتعارف تجمعی
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