Did COVID-19 Disrupt the Stock Market Return and Volatility? A Meta-Analytic Approach

We provide a quantitative synthesis of the literature utilizing meta-regression analysis on the measurable effect of the combined health and economic crisis due to the COVID-19 pandemic on stock market returns and volatility. This study is conducted based on 104 studies published during the period 2020 to 2022. We find strong evidence of a negative publication bias for COVID-19 impacts on stock market returns and a positive bias on volatility. We document that COVID-19 has a moderate negative effect on stock market returns. Estimates based on intraday stock returns show a greater effect compared to those using daily returns, whereas estimates using weekly returns exhibit the opposite trend . The market reacts more negatively to the COVID-19related news than the number of COVID-19 cases/deaths. Overall, this study confirms the disruptive effect of COVID-19 pandemic on stock market performance.