Investor's behaviour to COVID-19 vaccination campaign; An event study and panel data analysis in the southeast asian region

Abstract

This study examines how the COVID-19 immunization campaign has influenced the stock market responses in the WHO Southeast Asian Region. The effects of the immunization campaign on the WHO Southeast Asian countries were different, and the study used event study techniques and panel-data regression models to investigate the impact of the WHO South-East Asian capital market. Some countries like India, Sri Lanka, and South Korea had positive markets that responded to the news, while others did not. The findings of this study suggest that investors make fair assessments and respond to events and announcements, but they tend to have a more visible reaction to negative incidents than to positive news/events. However, after 51 days, the WHO South East region as a whole had internalized the encouraging news. The study has a few limitations, such as a small dataset and period, only a few variables and models, and so on. Future studies could include a few additional countries and periods to produce more significant results. Originality/value- This study contributes to the existing knowledge about the impact of drugs and vaccinations on stock markets. It is the first study to investigate how the WHO Southeast Asian Region's COVID-19 immunization program affects the stock market reaction. The study used keywords such as Immunization campaign, abnormal returns, Cumulative average abnormal returns, Event Study, and WHO Southeast Asian Region.