Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction

This paper studies the reaction of share prices in the Chilean securities market at the sectoral level to the arrival of COVID-19 in the country. The following question is answered: Did the Chilean market act efficiently before the arrival of COVID-19? To answer this question, an event study using a...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Pedro Antonio González, José Luis Gallizo
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	study of events stock market market efficiency COVID-19 abnormal returns Risk in industry. Risk management HD61 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/3bbc2e7b5fd44872a22aa6ae789b882c
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:3bbc2e7b5fd44872a22aa6ae789b882c
record_format	dspace
spelling	oai:doaj.org-article:3bbc2e7b5fd44872a22aa6ae789b882c2021-11-25T18:08:43ZImpact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction10.3390/jrfm141105481911-80741911-8066https://doaj.org/article/3bbc2e7b5fd44872a22aa6ae789b882c2021-11-01T00:00:00Zhttps://www.mdpi.com/1911-8074/14/11/548https://doaj.org/toc/1911-8066https://doaj.org/toc/1911-8074This paper studies the reaction of share prices in the Chilean securities market at the sectoral level to the arrival of COVID-19 in the country. The following question is answered: Did the Chilean market act efficiently before the arrival of COVID-19? To answer this question, an event study using a 10-day investment return window was applied to the industrial sectors that make up the IPSA (Selective Stock Price Index). To obtain the abnormal returns (AR) and cumulative abnormal returns (CAR) for the event window, three models were used: (1) adjusted average return, (2) adjusted market return, and (3) the market model. The results of the study show an overreaction to market losses, except in the utilities industry, causing greater losses after the event, which shows that information is slow to be incorporated in the previous stage and suggests that the prices of the assets do not reflect all the information available in the market. A significant finding is that the Chilean stock market responded inefficiently in the face of the arrival of the pandemic. This information is useful for investors in the formation of portfolios and/or investment strategies with a view to the long term.Pedro Antonio GonzálezJosé Luis GallizoMDPI AGarticlestudy of eventsstock marketmarket efficiencyCOVID-19abnormal returnsRisk in industry. Risk managementHD61FinanceHG1-9999ENJournal of Risk and Financial Management, Vol 14, Iss 548, p 548 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	study of events stock market market efficiency COVID-19 abnormal returns Risk in industry. Risk management HD61 Finance HG1-9999
spellingShingle	study of events stock market market efficiency COVID-19 abnormal returns Risk in industry. Risk management HD61 Finance HG1-9999 Pedro Antonio González José Luis Gallizo Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction
description	This paper studies the reaction of share prices in the Chilean securities market at the sectoral level to the arrival of COVID-19 in the country. The following question is answered: Did the Chilean market act efficiently before the arrival of COVID-19? To answer this question, an event study using a 10-day investment return window was applied to the industrial sectors that make up the IPSA (Selective Stock Price Index). To obtain the abnormal returns (AR) and cumulative abnormal returns (CAR) for the event window, three models were used: (1) adjusted average return, (2) adjusted market return, and (3) the market model. The results of the study show an overreaction to market losses, except in the utilities industry, causing greater losses after the event, which shows that information is slow to be incorporated in the previous stage and suggests that the prices of the assets do not reflect all the information available in the market. A significant finding is that the Chilean stock market responded inefficiently in the face of the arrival of the pandemic. This information is useful for investors in the formation of portfolios and/or investment strategies with a view to the long term.
format	article
author	Pedro Antonio González José Luis Gallizo
author_facet	Pedro Antonio González José Luis Gallizo
author_sort	Pedro Antonio González
title	Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction
title_short	Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction
title_full	Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction
title_fullStr	Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction
title_full_unstemmed	Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction
title_sort	impact of covid-19 on the stock market by industrial sector in chile: an adverse overreaction
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/3bbc2e7b5fd44872a22aa6ae789b882c
work_keys_str_mv	AT pedroantoniogonzalez impactofcovid19onthestockmarketbyindustrialsectorinchileanadverseoverreaction AT joseluisgallizo impactofcovid19onthestockmarketbyindustrialsectorinchileanadverseoverreaction
_version_	1718411553091354624

Impact of COVID-19 on the Stock Market by Industrial Sector in Chile: An Adverse Overreaction

Ejemplares similares