Pandemic effects on the Asian Emerging Markets and the Korean Stock Market

With the daily log-returns of 17 indices and 48 stocks, we examine the global pandemic's impact on the Asian emerging markets, the Korean stock market, and the KOSPI50 constituent stocks. The study uses the standard event methodology and Spearman’s correlation. We also use the simple measure of volatility. Covid-19 had negative impacts on the Asian emerging markets except the Chinese and the Taiwanese market. The Korean stock indices, too, experienced significant negative abnormal returns. The individual stock's analysis shows that the stock returns have been hit hard by the global pandemic. While the stock indices reaction in a few nations is significantly correlated, those in China, Taiwan, and Malaysia are different. The mean cumulative returns for China and Malaysia are also positive. Although the event has had significant impacts on returns, the overall volatility in the Korean stock indices were insignificant. 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. It is different from others in terms that it examines the impact of the global pandemic in a three-tier deductive approach by first analyzing a lot of Asian emerging markets, then the Korean stock indices, and finally, the stock level abnormal returns. This study gives an insight into pandemic effects on different sets of markets. It will help investors build their portfolios during such uncertainties and for the policymakers who work on securities pricing during different market phases. This study emphasizes the pandemic effects but fails to discuss the post-pandemic strategies. However, it paves the way for future research based on its findings.