International Journal of Economics and Financial Issues | Vol 10 • Issue 4 • 2020 34 International Journal of Economics and Financial Issues ISSN: 2146-4138 available at http: www.econjournals.com International Journal of Economics and Financial Issues, 2020, 10(4), 34-38. International Evidence of COVID-19 and Stock Market Returns: An Event Study Analysis Ahmad Bash* Public Authority for Applied Education and Training. College of Business Studies. Kuwait. *Email: ay.bash@paaet.edu.kw Received: 17 April 2020 Accepted: 16 June 2020 DOI: https://doi.org/10.32479/ijef.9941 ABSTRACT We study the efect of the frst registered case of COVID-19 on stock market returns using event study analysis. Mean-adjusted returns and market model methods are used to estimate cumulative abnormal returns for 30 countries. The results show that stock market returns experience a downwards trend as well as signifcant negative returns following the COVID-19 outbreak. Keywords: COVID-19, Event Study, Index Returns, Pandemics JEL Classifcation: G14 1. INTRODUCTION Research identifes a strong link between stock market returns and key events such as political events (Podgorski, 2020; Wong and Hooy, 2020); geopolitical events (Schiereck et al., 2016; Tielmann and Schiereck, 2017); terrorist incidents (Bash and Alsaif, 2019); environmental events (Pham et al., 2019); and disease outbreaks such as animal diseases, Ebola, SARS, and COVID-19 (Park et al. 2008; Pendell and Cho, 2013; Chen et al., 2009; Chen et al., 2007; Ichev and Marinč, 2018; Al-Awadhi et al., 2020). In December 2019, an infectious disease identifed as coronavirus frst appeared in Wuhan, the Capital of Hubei province in the People’s Republic of China (PRC) and since then has spread rapidly across the globe. On 11 February 2020 the World Health Organization (WHO) announced that the new name for agent responsible for the coronavirus disease is COVID-19. (Centers for Disease Control & Prevention, 2020) On 11 March 2020 the WHO announced that COVID-19 is a global pandemic. As of 5 May 2020, the number of registered cases is around 3.6 million and the death toll is in the order of 252.8 thousand (Worldometer, 2020). The emergence of the current COVID-19 pandemic caused fnancial markets to sufer historic losses in the frst quarter of 2020 at a level not seen since 1987 (BBC, 31 March 2020). For example, the Dow Jones, S&P and NASDAQ declined 3.5%, 3.3% and 3.7%, respectively (BBC, 24 February 2020). This has led researchers to extensively investigate its efect on stock market returns. For example, Al-Awadhi et al. (2020) study the efect of COVID-19 on the Chinese stock market using panel data regression. They fnd that COVID-19 has a negative efect on all companies in that market. Baig et al. (2020) investigate the efect of COVID-19 on the United States (US) equity markets and fnd that it increases market illiquidity and volatility. Using wavelet coherence analysis, Demir et al. (2020) fnd a negative and positive relationship between COVID-19 and cryptocurrencies. In addition, Zhang et al. (2020) fnd that both fnancial market risk and uncertainty increase following the outbreak of COVID-19. In this paper, we study the efect of the frst registered case of COVID-19 for 30 stock market indices using an event study approach. The results show that there is a downwards trend in cumulative abnormal returns for all indices, indicating that there is a negative efect of COVID-19 on index returns. This paper contributes to the literature on the relationship between COVID-19 and stock market returns by covering 30 markets, as well as treating the frst registered case in each country as the event day. This Journal is licensed under a Creative Commons Attribution 4.0 International License