Impact of Novel Coronavirus Outbreak-Related Announcements on Pharmaceutical Stocks : Empirical Evidence from an Emerging Market

We use the event study method to examine the impact of novel coronavirus outbreak-related announcements on 74 exchange-listed Indian pharmaceutical stocks' returns and volatility. We provide empirical evidence of significant negative impacts on stock returns and volatility in an emerging market, particularly during the global pandemic declaration. The small-cap pharmaceutical stocks have been more adversely affected than the large and mid-cap stocks. We also use abnormal volatility to examine the impact of the outbreak. We provide evidence of fading impacts in the post-event window period. Our results are consistent with recent literature. This study is an addition to the event study literature and provides a basis for future research using a simple measure of volatility regressed through the market model