Effects of COVID-19 Pandemic on the Bulgarian Stock Market Returns

Abstract

The purpose of this paper is to provide the first empirical research analysing the effects of the COVID-19 pandemic on the Bulgarian stock market before its onset and in the four pandemic waves. For this purpose, we used a fixed effect panel data regression model for the stock returns of 23 companies listed on the Bulgarian Stock Exchange from 2 January 2020 to 16 November 2021. The study showed that the growth rate of COVID-19 deaths per day in Bulgaria had a negative effect on the stock returns and had the strongest influence on them in the fourth pandemic wave. In addition, our results showed that stock returns in healthcare, IT, utilities, and real estate sectors were negatively affected before the COVID-19 pandemic while the first COVID-19 pandemic wave had a positive effect on healthcare and consumer staples sectors. During the second COVID-19 wave, the stock returns of the IT sector had a positive effect, while Utilities sector had a negative effect. The third COVID-19 wave had a positive effect on industrials and consumer staples sectors, while healthcare, real estate, and IT sectors showed a negative effect. During the fourth COVID-19 wave, the stock returns of the IT sector had a positive effect and consumer staples sector had a negative effect.