COVID-19 and March 2020 Stock Market Crash. Evidence from S&P1500

14 Pages Posted: 29 Apr 2020 Last revised: 10 Sep 2020

See all articles by Mieszko Mazur

Mieszko Mazur

ESSCA school of management

Man Dang

Danang University of Economics

Miguel Vega

Catholic University of Lille - IESEG School of Management

Date Written: May 5, 2020

Abstract

This paper investigates the US stock market performance during the crash of March 2020 triggered by COVID-19. We find that natural gas, food, healthcare, and software stocks earn high positive returns, whereas equity values in petroleum, real estate, entertainment, and hospitality sectors fall dramatically. Moreover, loser stocks exhibit extreme asymmetric volatility that correlates negatively with stock returns. Companies react in a variety of different ways to the COVID-19 revenue shock. The analysis of the 8K and DEF14A filings of poorest performers reveals departures of senior executives, remuneration cuts, and (most surprisingly) newly approved cash bonuses and salary increases.

Keywords: COVID-19, coronavirus, stock market crash, stock market performance, extreme volatility, S&P1500, SP1500

Suggested Citation

Mazur, Mieszko and Dang, Man and Vega, Miguel, COVID-19 and March 2020 Stock Market Crash. Evidence from S&P1500 (May 5, 2020). Available at SSRN: https://ssrn.com/abstract=3586603 or http://dx.doi.org/10.2139/ssrn.3586603

Mieszko Mazur (Contact Author)

ESSCA school of management ( email )

55 Quai Alphonse le Gallo
Boulogne-Billancourt, 92513
France

Man Dang

Danang University of Economics ( email )

71 Ngu Hanh Son
Ngu Hanh Son
Danang City, Danang City 0511
Vietnam
+84905132054 (Phone)

Miguel Vega

Catholic University of Lille - IESEG School of Management ( email )

Socle de la Grande Arche
1 Parvis de la Defense
Puteaux, Paris 92800
France

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