The Effect of the COVID-19 Pandemic on Stock Returns: Evidence from the Palestine Exchange

Abstract Purpose - This study investigates the effect of the COVID-19 outbreak on the daily stock returns of Palestine Exchange-listed companies. Design/methodology/approach - The study employs panel-data regression models to determine the effect of the daily increase in the number of confirmed and fatal COVID-19 cases on the daily stock returns of 46 firms listed on the Palestine Exchange from 10 June 2020 to 31 December 2021. Findings – The study reveals that the daily increase in COVID-19-related fatalities has a significant negative impact on the stock returns of Palatine. Additionally, the study indicates that the daily confirmed COVID-19 cases have a significant and positive impact on stock returns. While the daily count of COVID-19 death cases had a notable adverse effect on stock returns, the daily number of confirmed COVID-19 cases exhibited a significant and positive influence on stock market returns, particularly for banks and industry sectors. Within the industrial sector, the COVID-19 outbreak had the most significant effect on the Palestine Exchange. Research limitations/implications – The recovery of the Palestine Exchange stock market during COVID-19 can be attributed to investors' trust in the government's efforts to combat COVID-19. Originality/value – This is the first study to examine the effects of the COVID-19 lockdown on stock performance in Palestine, thereby making a significant contribution to the extant body of COVID-19 research