The relationship of stock returns with systematic risk in the ASEAN-5 Region: A panel data approach analysis of the relationship prior to and during the COVID-19 pandemic

• Main Authors: Banaag, Wren Angelo Encarnacion, De Guzman, Maxinne Vaughn Julia Catoto, Luces, Kassandra Mari Banawa
• Format: text
• Language: English
• Published: Animo Repository 2021
• Subjects: Stocks—Southeast Asia > Rate of return; Finance and Financial Management
• Online Access: https://animorepository.dlsu.edu.ph/etdb_finman/11; https://animorepository.dlsu.edu.ph/context/etdb_finman/article/1015/viewcontent/banaag2.pdf
• Institution: De La Salle University

The relationship between stock returns and systematic risk before and during the COVID-19 epidemic is investigated in this study. The samples will be indexed stocks from the ASEAN-5 countries' respective stock markets from January 2010 to December 2019, which corresponds to the pre-pandemic era, and from January 2020 to December 2020, which corresponds to the COVID-19 period. This research will look at theories including Capital Market Theory, Prospect Theory, EMH Theory, and Signaling Theory. To assess the link between the independent and dependent variables; descriptive statistics, classical assumption tests, and panel data approach were used as data analytic approaches in this research. The results of the panel regression, particularly the random effects model, show that systematic risk has a significant impact on stock returns for both the pre-pandemic and during the pandemic periods. In addition, there is a difference in systematic risk before and during the pandemic. In accordance with these findings, the researchers have indicated recommendations for industry practitioners, retail investors, senior executives, and future researchers. For industry practitioners and retail investors to remain aware and cautious of the market as there is still uncertainty on what the ongoing COVID-19 pandemic may still bring. The senior executives should also be aware and research the overall market in order to make sound financial decisions. Lastly, for future researchers to consider adding other financial variables and to expand the timeframe of this research as the pandemic is still ongoing. Keywords: COVID-19, stock returns, systematic risk, panel data, ASEAN-5