EVENTS’ STUDY ON THE IMPACT OF THE COVID-19 PANDEMIC ON THE MACEDONIAN STOCK MARKET

Abstract

The general impact of the COVID-19 pandemic certainly left a mark on stock prices through significant fluctuations in its beginning. To determine the general effects and significance of specific news, we use event study analysis based on the risk-adjusted return model or the single-factor CAPM market model in the case of North Macedonia. For this research, daily stock returns of four Macedonian companies are used in the interval between January 2019 and May 2020. For each event date, we determine [-10, 10] anticipation/adjustment windows. General results show that events such as implementing national “lockdown” and curfew announcements impact stock returns negatively and significantly. On contrary to the expectations, the first registered COVID-19 case and curfew ceasing events are estimated to be insignificant in market movements.