Martins António Miguel, Cró Susana
University of Madeira - Faculty of Social Sciences, Caminho da Penteada, 9020-105, Funchal, Portugal.
CEFAGE-UE and University of Évora, School of Social Sciences, Largo Dos Colegiais, 2, 7004-516, Évora, Portugal.
J Air Transp Manag. 2022 Oct;105:102281. doi: 10.1016/j.jairtraman.2022.102281. Epub 2022 Aug 22.
This paper examines the short-term market reaction of the airline industry to the declaration of COVID-19 as a global pandemic and to the announcements of the effectiveness of COVID-19 vaccines in the US. Using an event study, we observe a negative and statistically significant stock price reaction to the announcement of COVID-19 as a global pandemic. In contrast, we find a positive impact on the stock market due to the announcements of the effectiveness of COVID-19 vaccines in the US. These results are consistent with the investor sentiment hypothesis and the asset-pricing perspective. The empirical results also show a higher stock market reaction to the announcement of the effectiveness of the Pfizer-BioNTech COVID-19 vaccine in the US compared to the announcements of the effectiveness of subsequent vaccines. This result is explained by the innovation race competition effect and the greater reduction in investor uncertainty levels. These reactions were reinforced or mitigated by firm-specific characteristics such as liquidity, size, leverage, ownership concentration, state control and business model (i.e., low-cost full-service).
本文考察了航空业对新冠疫情被宣布为全球大流行以及美国新冠疫苗有效性公告的短期市场反应。通过事件研究，我们观察到，在新冠疫情被宣布为全球大流行时，股价出现了负面且具有统计学意义的反应。相比之下，我们发现美国新冠疫苗有效性的公告对股票市场产生了积极影响。这些结果与投资者情绪假说和资产定价观点一致。实证结果还表明，与后续疫苗有效性公告相比，美国辉瑞 - 生物科技新冠疫苗有效性公告引发的股市反应更大。这一结果可由创新竞赛竞争效应以及投资者不确定性水平的更大幅度降低来解释。这些反应因公司特定特征（如流动性、规模、杠杆率、股权集中度、国家控制和商业模式（即低成本与全方位服务））而得到强化或缓解。
