Paper title: Assessing the Capital Market Reactions of COVID-19 Announcement: Evidence from Bangladesh
Abstract: Abstract: This research assessed the reactions of the COVID-19 epidemic announcement and the firm-level causative factors of abnormal return in the context of the Bangladesh capital market. 349 companies from the Dhaka Stock Exchange (DSE), which is considered as frontier market, have been selected for this analysis. We got that the announcement of the COVID-19 epidemic caused a substantial positive reaction, quite a contradictory finding than other Aksian countries due to the lower infection rate and death rate in Bangladesh, on cumulative average abnormal returns range from 1.13% to 2.51% having a 5-day event window period, with some deviations. The cross-sectional outcomes support the notion that the smaller, more profitable and lesser liquid portfolios reacted more throughout the course of this epidemic. To conclude, abnormal returns were responded mostly by size and liquidity and these findings are fundamental grasp for a series of robustness tests. Keywords: Corona-virus, Bangladesh capital market, CAAR, Abnormal returns. DOI: https://www.doi.org/10.61607/JFB.V20N1-2.A1 Article Info: Submission Date: March 16, 2023; Acceptance Date: October 23, 2023.
