A Model for Measuring and Interpreting the Impact of the Coronavirus Crisis on Stock Prices and Returns

Abstract

 This study aimed to measure the impact of the Coronavirus crisis on the fluctuations of stock prices and stock returns, and to identify the factors that interpret  the changes in stock prices and stock returns during the crisis period, The researcher used  sustainability disclosure, audit quality, and the power of the chief executive officer, and the Central Bank of Egypt initiative as independent variables to interpret changes in stock prices and stock returns during the crisis period, The researcher also used several control variables  represented in firm age, firm size, firm  liquidity, firm profitability, and the firm's operating cash flows. The study was conducted on the daily trading data and the published financial reports data, for 38 companies from the non-financial sectors included in the EGX100 index on the Egyptian Stock Exchange in the period from 3/3/2019 to 11/4/2019 and the period from 3/3/2020 until 12/4/2020; Using multiple linear regression analysis, the study concluded that there is a significant effect of the Coronavirus crisis on the fluctuations of prices and returns of shares traded on the Egyptian Stock Exchange, The study also proved a significant impact of the sustainability disclosure, the audit quality, the power of the chief executive officer, and the initiative of the Central Bank of Egypt on the fluctuations in the prices of shares traded on the Egyptian Stock Exchange. The study also found a significant impact of the Central Bank's initiative on the daily returns of shares traded on the Egyptian Stock Exchange. While, the study did not find any effect of the sustainability disclosure, the audit quality, and the power of the chief executive officer on the daily returns of the shares traded on the Egyptian Stock Exchange