Abnormal Stock Returns on the US Market during the COVID-19 Crisis
|Author:||Bc. Tomáš Pivrnec|
|Year:||2022 - summer|
|Leaders:|| prof. PhDr. Petr Teplý Ph.D.
|Work type:|| Bachelors
|Awards and prizes:|
|Abstract:||This thesis examines how the US stock market responded to the 2020 COVID-19
crisis compared to the 2008 Global Financial Crisis. The sample of 4 companies
is selected as a representative of each sector of the economy. The abnormal
returns are measured for the Black Thursday and the Lehman Brothers collapse.
Firstly, the abnormal returns for the event day Black Thursday are calculated using
market adjusted return model. The results do not show any significant abnormal
returns. However, when calculating the cumulative abnormal returns for the 21-
day event window, Amazon has shown positive performance. Secondly, the
abnormal returns for the event day Lehman Brothers collapse are calculated using
the same methodology. Here the results again do not show any significant
abnormal returns. For the 21-day event window, we found significant positive
cumulative abnormal returns for JPMorgan. Despite these findings, the average
abnormal returns on our sample of companies turned out to be insignificant for
both events. When comparing these results, it can be seen that the behavior of
stocks during these crises shows no major similarities.