Is there an impact of COVID-19 on the returns of the Amman Stock Exchange?

  • Received January 10, 2022;
    Accepted March 28, 2022;
    Published April 12, 2022
  • Author(s)
  • DOI
    http://dx.doi.org/10.21511/imfi.19(2).2022.03
  • Article Info
    Volume 19 2022, Issue #2, pp. 24-36
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This work is licensed under a Creative Commons Attribution 4.0 International License

This study examines the effect of the COVID-19 pandemic on the performance of the main indices and corporate returns in Jordan. The study employs two samples and two levels of analysis. The first one considers the effect of daily cumulative confirmed cases of COVID-19 on the daily return of the main index and sub-indices of the Amman Stock Exchange (ASE). The time-series analysis shows that there is a strong negative impact of the daily cumulative confirmed cases of COVID-19 on the daily return of the Amman Stock Exchange index. The results also indicate that the financial sector is the most affected during the epidemic, followed by the service and industry sectors. The insurance sector is positively affected, but not statistically significant.
The second level of analysis aims to test how different corporate financial characteristics might affect corporate immunity during the pandemic period. The sample includes all non-financial firms listed on ASE, with a total of 75 firms. Based on quarterly data, the findings show a statistically significant negative effect of the COVID-19 pandemic on non-financial corporate stock returns. Further, the evidence shows that larger firms with higher levels of cash holding have better immunity and thus experience higher returns during the pandemic period.

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    • Figure 1. ASE index during the pandemic
    • Figure 2. Bank indices during the pandemic
    • Figure 3. Industry index during the pandemic
    • Figure 4. Service index during the pandemic
    • Figure 5. Insurance index during the pandemic
    • Table 1. ASE daily returns
    • Table 2. Descriptive statistics
    • Table 3. Correlation matrix
    • Table 4. VIF
    • Table 5. General market index and confirmed cases of COVID-19
    • Table 6. Sub-indices’ return and confirmed cases of COVID-19
    • Table 7. Corporate immunity to the accumulated COVID-19 pandemic
    • Table 8. Corporate immunity to the accumulated COVID-19 pandemic
    • Conceptualization
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Data curation
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Formal Analysis
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Investigation
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Methodology
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Project administration
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Resources
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Software
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Supervision
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Validation
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Visualization
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Writing – original draft
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza
    • Writing – review & editing
      Buthiena Kharabsheh, Omar K. Gharaibeh, Aseel Mahafza