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Abstract(s)
A 11 de março de 2020 oficializou-se a declaração do surto pandémico COVID-19 pela Organização Mundial de Saúde (OMS), que se revelou um choque inesperado para a economia mundial (Goodell, 2020) com consequências nos mercados bolsistas de ações.
O principal objetivo desta dissertação é analisar o impacto do anúncio da pandemia COVID-19 nos mercados acionistas da Euronext, em termos agregados, por índice e por setor de atividade. A pesquisa abrange dados de empresas de diversos setores de atividade cotadas nos índices acionistas principais da AEX (Amesterdão), BEL20 (Bruxelas), PSI (Lisboa), ISEQ20 (Dublin), OBX (Oslo) e CAC40 (Paris) para um período compreendido entre 2019 e 2020. Para alcançar esse propósito, foi aplicada a metodologia de estudo de eventos que permite investigar a reação do mercado a um acontecimento específico, neste caso, o anúncio da pandemia da COVID-19. O estudo empírico adotou modelos para analisar a formação de retornos anormais e para identificar reações dos retornos anormais ao evento, considerando os índices acionistas e diferentes setores de atividade.
Os resultados demonstram que o anúncio da pandemia COVID-19 provocou reações significativas nos retornos anormais agregados das ações cotadas nos índices da Euronext, com exceção do BEL20. Além disso, o anúncio da pandemia COVID-19 provocou reações significativas nos retornos anormais dos setores da comunicação, energético, financeiro, construção/imobiliário e industrial. Por fim, verificou-se também que os retornos anormais persistiram por mais de 10 dias de negociação, com exceção do índice PSI, refletindo que os outros mercados não absorveram a informação de forma imediata e, por isso, proporcionando evidências contra a eficiência financeira sob a forma semiforte.
On March 11, 2020, the World Health Organization (WHO) officially declared the COVID-19 outbreak a pandemic, which turned out to be an unexpected shock to the global economy (Goodell, 2020) with consequences for stock markets worldwide. The main objective of this dissertation is to analyze the impact of the COVID-19 pandemic announcement on the Euronext stock markets, in aggregate terms, by index, and by industry sector. The research encompasses data from companies across various sectors listed on the main stock indices of AEX (Amsterdam), BEL20 (Brussels), PSI (Lisbon), ISEQ20 (Dublin), OBX (Oslo), and CAC40 (Paris) for a period covering 2019 to 2020. To achieve this purpose, the event study methodology was applied, which allows for investigating the market's reaction to a specific event, in this case, the COVID-19 pandemic announcement. The empirical study adopted models to analyze the formation of abnormal returns and to identify the reactions of abnormal returns to the event, considering the stock indices and different industry sectors. The results demonstrate that the COVID-19 pandemic announcement triggered significant reactions in the aggregated abnormal returns of stocks listed on the Euronext indices, except for BEL20. Furthermore, the COVID-19 pandemic announcement caused significant reactions in the abnormal returns of the communication, energy, financial, construction/real estate, and industrial sectors. Lastly, it was also observed that abnormal returns persisted for more than 10 trading days, except in the PSI index, indicating that other markets did not immediately absorb the information, thus providing evidence against the semi-strong form of financial efficiency.
On March 11, 2020, the World Health Organization (WHO) officially declared the COVID-19 outbreak a pandemic, which turned out to be an unexpected shock to the global economy (Goodell, 2020) with consequences for stock markets worldwide. The main objective of this dissertation is to analyze the impact of the COVID-19 pandemic announcement on the Euronext stock markets, in aggregate terms, by index, and by industry sector. The research encompasses data from companies across various sectors listed on the main stock indices of AEX (Amsterdam), BEL20 (Brussels), PSI (Lisbon), ISEQ20 (Dublin), OBX (Oslo), and CAC40 (Paris) for a period covering 2019 to 2020. To achieve this purpose, the event study methodology was applied, which allows for investigating the market's reaction to a specific event, in this case, the COVID-19 pandemic announcement. The empirical study adopted models to analyze the formation of abnormal returns and to identify the reactions of abnormal returns to the event, considering the stock indices and different industry sectors. The results demonstrate that the COVID-19 pandemic announcement triggered significant reactions in the aggregated abnormal returns of stocks listed on the Euronext indices, except for BEL20. Furthermore, the COVID-19 pandemic announcement caused significant reactions in the abnormal returns of the communication, energy, financial, construction/real estate, and industrial sectors. Lastly, it was also observed that abnormal returns persisted for more than 10 trading days, except in the PSI index, indicating that other markets did not immediately absorb the information, thus providing evidence against the semi-strong form of financial efficiency.
Description
Keywords
Covid-19 Mercados financeiros Índices bolsistas Estudo de eventos Financial markets Stock indices Event study