The unprecedented global pandemic of COVID-19 has greatly impacted the stock market in terms of both price reactions and the influences of volatility. Using a sample of 46 stocks listed in the Stock Exchange of Thailand, in this paper, an event study technique is developed considering idiosyncratic volatility to analyze the reactions of stock prices and market volatility in Thailand during the period of the pandemic. The empirical results suggest that most securities in the Thai stock market have been adversely affected by the pandemic, as reflected in the abnormal returns compared to the period before the COVID-19 outbreak. This is mainly attributable to the curtailed economic activities induced by the pandemic as well as policy responses such as social distancing, quarantine and temporary market shutdown. Nevertheless, stocks in different sectors have been shown to have varied in terms of price responses, as some businesses may have benefitted from the pandemic. In terms of market volatility, the cumulated abnormal volatility (CAV) calculated in the paper suggests that volatility in the Stock Exchange of Thailand (SET) was significantly higher during the event window of COVID-19.
COVID-19 cumulated abnormal volatility event study GARCH stock market reaction