Реакция рынка на COVID-19 и политические меры в различных секторах: исследование событий на фондовом рынке стран АСЕАН

Цель исследования — изучить реакцию рынка на COVID-19 и ответные меры политики на фондовом рынке стран АСЕАН. Объектом исследования являются 2349 компаний, расположенных в странах АСЕАН (Индонезия, Малайзия, Таиланд, Филиппины и Вьетнам). Применяется метод изучения событий с использованием CAR (Cumulative Abnormal Return) в качестве измерения рыночной реакции. Мы также провели регрессию влияния характеристик компании (SIZE, ROA, LEV, CASH,AGE) на реакцию рынка. В результате исследования мы пришли к выводу, что рынок негативно отреагировал на объявление о случаях заболевания и смерти от COVID-19 на фондовом рынке стран АСЕАН. При этом хуже всего на вспышку пандемии отреагировали рынки Малайзии, Филиппин и Вьетнама. Более того, рынок негативно отреагировал на ответные меры политики, подчеркивающие распространение этого заболевания. Мы также обнаружили, что несколько секторов негативно отреагировали на COVID-19 и политические меры на фондовом рынке стран АСЕАН. Кроме того, особенности компании в значительной мере повлияли на стимулирование реакции рынка на пандемию и его регулирование. Сделаны практические выводы для политиков в связи с необходимостью учета рыночных условий в мерах по борьбе с распространением кризиса в области здравоохранения. Инвесторы также должны учитывать особенности, связанные с управлением пандемией COVID-19. 

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