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The Impact of COVID-19 on the Norwegian Stock Market

Zhang, Danielle; Erland, Maria; Kaiser, Marie Holm
Peer reviewed, Journal article
Accepted version
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URI
https://hdl.handle.net/11250/2991262
Date
2022-02-18
Metadata
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Original version
https://doi.org/10.18261/beta.36.1.1
Abstract
This paper studies the potential economic impact of the COVID-19 pandemic using Norwegian stock market data. We conduct event studies on three major events that are related to the evolution of the COVID-19 pandemic in Norway, namely the first confirmed COVID-19 case in Norway, the WHO’s declaration of COVID-19 as a pandemic and the Norwegian government’s new COVID-19 policies, and the press conference on the second wave. Our analysis suggests that the Norwegian stock market responded negatively to all three events, with its strongest reaction being to the second event. In addition, our multifactor regression analysis shows that profitability, firm size, and liquidity are the factors that potentially explain the variation in stock market reactions. We also find a large variation in market reaction between different sectors. Furthermore, we carry out a comparative analysis of stock market reactions in Norway, Denmark, and Sweden and find similar patterns among these countries. Finally, whereas most sectors experienced stock prices collapse and volatility jumps in early 2020, our analysis of shareholder returns suggests that many sectors show signs of recovery.
Publisher
Universitetsforlaget
Series
Beta – Scandinavian Journal of Business Research;Volume 36, nr. 1-2022
Journal
Beta

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