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COVID–19’s Impact on Stock Prices — An Event Study Based on the South Korea Stock Market

Student: Sofia Saburova

Supervisor: Elena Rogova

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Economics (Bachelor)

Year of Graduation: 2021

The following study investigates the reaction of stock markets in South Korea to the COVID-19 pandemic event (11 of march) as well as to the events of announcing economic measures. The study sample includes all industry indices in South Korea from February 7 to October 26, 2020. According to the results, the negative reaction of the KOSPI stock index to the global pandemic announcement event (March 11) in short event windows was confirmed. There was also evidence that support measures announced in March did not fully offset the downturn in the markets. According to the firm-level results, it was also confirmed that the fall of excessive returns is less if firms show high returns or potential for growth. At the same time, investors were not ready to sacrifice profitability for a less risky capital structure.

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