COVID-19 crisis effect on stock markets

Retail, Technology services, and Consumer services gained the most in the COVID-19 crisis. Finance and Non-Durables are the most negatively impacted.

What happened to the stock markets in 2020 in the so-called COVID-19 crisis?

 

Covid-19 effect on stock markets

Take away on COVID-19 crisis

Retail (led by Amazon, Lowe, and Delivery heroes), Technology services (led by Paypal, Adobe, Salesforces, Facebook, and Google), and Consumer Services (led by Netflix and Vivendi) are the sectors the gained the most from the COVID-19 crisis. This result seems natural given the nature of consumers’ and companies’ activities regarding the shutdown. Note how retail is the sector with less impact on jumps (fluctuations) which means that this increase in value has been organic.

Finance and Non-Durables (Beiersdorf, Adidas, Coca Cola, and LVMH) are the most negatively impacted by the COVID-19 crisis. Unsurprisingly, the former sector reaction is naturally is not a surprise since finance is frontally linked to the overall economic uncertainty. In fact, this can be depicted by the increase of % of daily jumps which the most import important among all sectors. However, the latter sector negative reaction is due to the shutdown (shops and indirect shopping localisations like theaters closing that impacted Coca Cola sales) and may surprisingly suggest that online sales are not the main source of value and not enough grown-up, as it may be for retail pure players, for this sector.

Method

Infographics notes in details

(a) Jumps

A jump is a daily negative or positive return greater than 2.5% defined by Baker et al. 2020 in NBER Working Paper 26945 as a measure of market fluctuations.

Example :

  • returns are : [-3%, -1%, 4%, 0.5%, 2%],
  • jumps are : [True, False, True, False, False],
  • the % of jumps in this period is 2/5 = 40%

(b) Missing stocks

1COV, FME, and MTX are missing from DAX30, and LR, URW, BN, DSY, and ENGI are missing from CAC40 for data availability reasons. The point is that there is good reason to believe that this missingness is at random, at least given the research question, and thus there is no reason to believe that there is a selection process that may introduce some bias in results.

(c) Reading example

For Retail Trade 7 companies :

  • return is 31% in the 2020 period and 15% in the 2019 period, so the return increased by 16% ;
  • % of daily jumps is 13% in the 2020 period and 2.8% in the 2019 period, so the % of jumps increased by 9%.

Note that the reported figures are the difference between what happened in March to October 2020 vs  March to October 2019. See intermediate results for more examples.

Intermediate results

COVID-19 crisis effect on companies

Company’s 2020 return Company’s 2020 jumps Company’s 2019 returns Company’s 2019 jump Sector Company Name Company’s 2020 return – 2019 return Company’s 2020 jumps – 2019 jumps
MC-FP 0.084805 0.114286 0.288907 0.051136 Consumer Non-Durables LVMH Moet Hennessy Louis Vuitton SE -0.204102 0.063149
SAN-FP -0.078160 0.045714 0.109796 0.034091 Health Technology Sanofi -0.187956 0.011623
FP-FP -0.327254 0.137143 -0.044809 0.034091 Energy Minerals Total SE -0.282445 0.103052
OR-FP 0.152282 0.057143 0.173502 0.028409 Consumer Non-Durables L\’Oreal SA -0.021219 0.028734
AI-FP 0.021155 0.074286 0.188303 0.022727 Process Industries Air Liquide SA -0.167147 0.051558
SU-FP 0.151381 0.114286 0.229465 0.039773 Producer Manufacturing Schneider Electric SE -0.078084 0.074513
KER-FP 0.025109 0.120000 0.072693 0.068182 Consumer Non-Durables Kering SA -0.047584 0.051818
AIR-FP -0.420999 0.274286 0.144190 0.045455 Electronic Technology Airbus SE -0.565189 0.228831
EL-FP -0.137287 0.137143 0.278065 0.028409 Health Technology EssilorLuxottica SA -0.415352 0.108734
DG-FP -0.254561 0.160000 0.212464 0.011364 Industrial Services VINCI SA -0.467026 0.148636
BNP-FP -0.317953 0.188571 0.047059 0.056818 Finance BNP Paribas SA Class A -0.365012 0.131753
CS-FP -0.341289 0.114286 0.068610 0.017045 Finance AXA SA -0.409899 0.097240
SAF-FP -0.270588 0.205714 0.193495 0.028409 Electronic Technology Safran S.A. -0.464083 0.177305
RI-FP -0.054645 0.057143 0.084544 0.022727 Consumer Non-Durables Pernod Ricard SA -0.139189 0.034416
RMS-FP 0.268254 0.091429 0.170618 0.028409 Consumer Non-Durables Hermes International SCA 0.097636 0.063019
VIV-FP 0.076890 0.085714 -0.027237 0.017045 Consumer Services Vivendi SA 0.104127 0.068669
CAP-FP -0.000806 0.148571 -0.027091 0.062500 Technology Services Capgemini SE 0.026285 0.086071
SGO-FP 0.060127 0.142857 0.168035 0.056818 Producer Manufacturing Compagnie de Saint-Gobain SA -0.107909 0.086039
STM-FP 0.071282 0.177143 0.443981 0.113636 Electronic Technology STMicroelectronics NV -0.372698 0.063506
ORA-FP -0.210008 0.080000 0.070685 0.011364 Communications Orange SA -0.280693 0.068636
ML-FP -0.037406 0.125714 0.054028 0.056818 Consumer Durables Compagnie Generale des Etablissements Michelin SCA -0.091435 0.068896
TEP-FP 0.172429 0.137143 0.292994 0.028409 Commercial Services Teleperformance SE -0.120564 0.108734
WLN-FP -0.075672 0.160000 0.086780 0.073864 Commercial Services Worldline SA -0.162452 0.086136
VIE-FP -0.383340 0.148571 0.213472 0.022727 Utilities Veolia Environnement SA -0.596811 0.125844
GLE-FP -0.545135 0.274286 -0.042222 0.068182 Finance Societe Generale S.A. Class A -0.502913 0.206104
ACA-FP -0.372803 0.205714 0.048085 0.068182 Finance Credit Agricole SA -0.420888 0.137532
UG-FP -0.118286 0.205714 0.044723 0.079545 Consumer Durables Peugeot SA -0.163008 0.126169
CA-FP -0.145780 0.114286 -0.155000 0.028409 Retail Trade Carrefour SA 0.009220 0.085877
ALO-FP -0.135087 0.114286 0.015437 0.017045 Producer Manufacturing Alstom SA -0.150523 0.097240
MT-NA -0.092679 0.211429 -0.305789 0.187500 Non-Energy Minerals ArcelorMittal SA 0.213110 0.023929
HO-FP -0.384581 0.188571 -0.198891 0.034091 Electronic Technology Thales SA -0.185690 0.154481
ATO-FP -0.129272 0.125714 0.066189 0.068182 Technology Services Atos SE -0.195461 0.057532
EN-FP -0.206595 0.165714 0.156692 0.017045 Industrial Services Bouygues SA -0.363287 0.148669
PUB-FP -0.148085 0.200000 -0.202339 0.045455 Commercial Services Publicis Groupe SA 0.054255 0.154545
RNO-FP -0.198113 0.257143 -0.224141 0.062500 Consumer Durables Renault SA 0.026028 0.194643
ADS-GY 0.017761 0.142857 0.310861 0.045455 Consumer Non-Durables adidas AG -0.293100 0.097403
ALV-GY -0.224538 0.114286 0.122955 0.011364 Finance Allianz SE -0.347493 0.102922
BAS-GY -0.113225 0.137143 0.030004 0.045455 Process Industries BASF SE -0.143230 0.091688
BAYN-GY -0.381077 0.148571 -0.005407 0.085227 Health Technology Bayer AG -0.375670 0.063344
BEI-GY -0.052687 0.068571 0.283104 0.000000 Consumer Non-Durables Beiersdorf AG -0.335792 0.068571
BMW-GY -0.004242 0.160000 -0.065536 0.028409 Consumer Durables Bayerische Motoren Werke AG 0.061294 0.131591
CON-GY -0.101752 0.171429 -0.147778 0.102273 Producer Manufacturing Continental AG 0.046026 0.069156
DAI-GY 0.182738 0.154286 0.000760 0.073864 Consumer Durables Daimler AG 0.181979 0.080422
DB1-GY -0.110524 0.097143 0.258326 0.011364 Finance Deutsche Boerse AG -0.368850 0.085779
DBK-GY 0.002538 0.177143 -0.192402 0.119318 Finance Deutsche Bank AG 0.194940 0.057825
DHER-GY 0.452647 0.148571 0.218603 0.051136 Retail Trade Delivery Hero SE 0.234044 0.097435
DPW-GY 0.402655 0.102857 0.177160 0.022727 Transportation Deutsche Post AG 0.225495 0.080130
DTE-GY -0.114499 0.080000 0.078729 0.005682 Communications Deutsche Telekom AG -0.193228 0.074318
DWNI-GY 0.188426 0.085714 -0.167317 0.056818 Finance Deutsche Wohnen SE 0.355743 0.028896
EOAN-GY -0.141898 0.097143 -0.071207 0.017045 Utilities E.ON SE -0.070691 0.080097
FRE-GY -0.249234 0.148571 -0.033583 0.062500 Health Technology Fresenius SE & Co. KGaA -0.215651 0.086071
HEI-GY -0.087667 0.165714 0.045173 0.039773 Non-Energy Minerals HeidelbergCement AG -0.132840 0.125942
HEN3-GY -0.001912 0.091429 0.070128 0.022727 Consumer Non-Durables Henkel AG & Co. KGaA Pref -0.072040 0.068701
IFX-GY 0.271953 0.154286 -0.077720 0.113636 Electronic Technology Infineon Technologies AG 0.349673 0.040649
LIN-GY 0.095779 0.125714 0.163613 0.034091 Process Industries Linde plc -0.067834 0.091623
MRK-GY 0.165979 0.097143 0.195748 0.017045 Health Technology Merck KGaA -0.029769 0.080097
MUV2-GY -0.129606 0.102857 0.204732 0.011364 Finance Munich Reinsurance Company -0.334338 0.091494
RWE-GY 0.020218 0.114286 0.293569 0.017045 Utilities RWE AG -0.273351 0.097240
SAP-GY -0.179903 0.125714 0.269851 0.034091 Technology Services SAP SE -0.449755 0.091623
SIE-GY 0.080472 0.102857 0.091647 0.039773 Producer Manufacturing Siemens AG -0.011175 0.063084
VNA-GY 0.128448 0.080000 0.112570 0.028409 Finance Vonovia SE 0.015878 0.051591
VOW3-GY -0.158029 0.142857 0.144467 0.034091 Consumer Durables Volkswagen AG Pref -0.302496 0.108766
AAPL 0.592918 0.152047 0.477477 0.040698 Electronic Technology Apple Inc. 0.115440 0.111349
MSFT 0.249738 0.134503 0.282871 0.046512 Technology Services Microsoft Corporation -0.033133 0.087991
AMZN 0.611758 0.128655 0.092455 0.040698 Retail Trade Amazon.com, Inc. 0.519304 0.087957
FB 0.367018 0.152047 0.199257 0.046512 Technology Services Facebook, Inc. Class A 0.167762 0.105535
GOOGL 0.206728 0.128655 0.129333 0.040698 Technology Services Alphabet Inc. Class A 0.077395 0.087957
GOOG 0.210314 0.128655 0.137349 0.040698 Technology Services Alphabet Inc. Class C 0.072965 0.087957
BRK.B -0.021518 0.099415 0.072181 0.005814 Finance Berkshire Hathaway Inc. Class B -0.093699 0.093601
JNJ 0.019557 0.081871 -0.039813 0.023256 Health Technology Johnson & Johnson 0.059369 0.058616
PG 0.210810 0.076023 0.256925 0.011628 Consumer Non-Durables Procter & Gamble Company -0.046116 0.064395
NVDA 0.856408 0.181287 0.313302 0.104651 Electronic Technology NVIDIA Corporation 0.543105 0.076635
V -0.000275 0.128655 0.221510 0.034884 Finance Visa Inc. Class A -0.221785 0.093771
JPM -0.155628 0.222222 0.224607 0.029070 Finance JPMorgan Chase & Co. -0.380235 0.193152
HD 0.224339 0.093567 0.281949 0.011628 Retail Trade Home Depot, Inc. -0.057610 0.081939
UNH 0.196815 0.122807 0.041243 0.046512 Health Services UnitedHealth Group Incorporated 0.155572 0.076295
MA -0.005547 0.163743 0.241491 0.046512 Finance Mastercard Incorporated Class A -0.247038 0.117231
VZ 0.052253 0.052632 0.060611 0.017442 Communications Verizon Communications Inc. -0.008359 0.035190
PYPL 0.723586 0.192982 0.070460 0.069767 Technology Services PayPal Holdings Inc 0.653126 0.123215
NFLX 0.289163 0.157895 -0.199078 0.075581 Consumer Services Netflix, Inc. 0.488242 0.082313
ADBE 0.295491 0.175439 0.058362 0.046512 Technology Services Adobe Inc. 0.237130 0.128927
DIS 0.030599 0.152047 0.176445 0.029070 Consumer Services Walt Disney Company -0.145845 0.122977
CRM 0.363087 0.157895 -0.023892 0.081395 Technology Services salesforce.com, inc. 0.386979 0.076499
CMCSA 0.044769 0.134503 0.157228 0.011628 Consumer Services Comcast Corporation Class A -0.112459 0.122875
PFE 0.061640 0.081871 -0.114418 0.040698 Health Technology Pfizer Inc. 0.176057 0.041174
WMT 0.288540 0.058480 0.188201 0.005814 Retail Trade Walmart Inc. 0.100339 0.052666
MRK -0.017633 0.081871 0.044901 0.029070 Health Technology Merck & Co., Inc. -0.062534 0.052802
T -0.232822 0.116959 0.251607 0.017442 Communications AT&T Inc. -0.484429 0.099517
INTC -0.202450 0.134503 0.067032 0.058140 Electronic Technology Intel Corporation -0.269481 0.076363
TMO 0.626960 0.087719 0.169627 0.046512 Health Technology Thermo Fisher Scientific Inc. 0.457333 0.041208
ABT 0.364533 0.093567 0.064932 0.046512 Health Technology Abbott Laboratories 0.299602 0.047056
KO -0.101514 0.122807 0.188796 0.005814 Consumer Non-Durables Coca-Cola Company -0.290310 0.116993
PEP 0.009543 0.081871 0.184106 0.005814 Consumer Non-Durables PepsiCo, Inc. -0.174563 0.076057
BAC -0.168421 0.239766 0.093535 0.052326 Finance Bank of America Corp -0.261956 0.187441
COST 0.272035 0.046784 0.353616 0.011628 Retail Trade Costco Wholesale Corporation -0.081581 0.035156
MCD 0.096977 0.070175 0.054939 0.017442 Consumer Services McDonald\’s Corporation 0.042038 0.052734
NKE 0.343477 0.128655 0.040243 0.046512 Consumer Non-Durables NIKE, Inc. Class B 0.303235 0.082143
CSCO -0.100927 0.122807 -0.091559 0.063953 Technology Services Cisco Systems, Inc. -0.009368 0.058854
DHR 0.587633 0.070175 0.075185 0.040698 Health Technology Danaher Corporation 0.512448 0.029478
NEE 0.158569 0.099415 0.255700 0.000000 Utilities NextEra Energy, Inc. -0.097131 0.099415
QCOM 0.575479 0.146199 0.565462 0.069767 Electronic Technology Qualcomm Inc 0.010017 0.076431
ABBV -0.007117 0.070175 0.031676 0.029070 Health Technology AbbVie, Inc. -0.038793 0.041106
AVGO 0.282481 0.140351 0.077099 0.075581 Electronic Technology Broadcom Inc. 0.205382 0.064769
XOM -0.365863 0.198830 -0.119322 0.023256 Energy Minerals Exxon Mobil Corporation -0.246541 0.175575
ACN 0.201119 0.152047 0.166316 0.029070 Technology Services Accenture Plc Class A 0.034803 0.122977
MDT -0.000993 0.116959 0.199669 0.005814 Health Technology Medtronic Plc -0.200662 0.111145
TXN 0.266778 0.152047 0.115901 0.046512 Electronic Technology Texas Instruments Incorporated 0.150877 0.105535
CVX -0.255410 0.175439 -0.028182 0.029070 Energy Minerals Chevron Corporation -0.227228 0.146369
BMY -0.010328 0.058480 0.106465 0.029070 Health Technology Bristol-Myers Squibb Company -0.116794 0.029410
AMGN 0.086166 0.105263 0.146622 0.046512 Health Technology Amgen Inc. -0.060456 0.058752
LOW 0.483532 0.087719 0.074793 0.046512 Retail Trade Lowe\’s Companies, Inc. 0.408739 0.041208
UNP 0.108754 0.105263 0.028801 0.052326 Transportation Union Pacific Corporation 0.079953 0.052938

COVID-19 crisis effect on sectors

Sector Sector’s 2020 return –  2019 return Sector’s  2020 jumps –  2019 jumps Sector’s  2020 return Sector’s  2020 jumps Sector’s  2019 return Sector’s  2019 jumps Number of Companies in the sector
Commercial Services -0.076254 0.116472 -0.017109 0.165714 0.059145 0.049242 3
Communications -0.241677 0.069415 -0.126269 0.082398 0.115408 0.012982 4
Consumer Durables -0.047940 0.118415 -0.055556 0.174286 -0.007617 0.055871 6
Consumer Non-Durables -0.101929 0.067950 0.075107 0.096018 0.177036 0.028068 12
Consumer Services 0.075220 0.089914 0.107680 0.120067 0.032459 0.030153 5
Electronic Technology -0.043877 0.106896 0.148971 0.173312 0.192848 0.066416 11
Energy Minerals -0.252072 0.141665 -0.316176 0.170471 -0.064104 0.028805 3
Finance -0.225836 0.111756 -0.138255 0.152920 0.087581 0.041165 15
Health Services 0.155572 0.076295 0.196815 0.122807 0.041243 0.046512 1
Health Technology -0.013255 0.057374 0.068709 0.095006 0.081964 0.037632 15
Industrial Services -0.415156 0.148653 -0.230578 0.162857 0.184578 0.014205 2
Non-Energy Minerals 0.040135 0.074935 -0.090173 0.188571 -0.130308 0.113636 2
Process Industries -0.126070 0.078290 0.001236 0.112381 0.127307 0.034091 3
Producer Manufacturing -0.060333 0.078006 0.011028 0.129143 0.071361 0.051136 5
Retail Trade 0.161779 0.068891 0.312439 0.096866 0.150660 0.027975 7
Technology Services 0.080727 0.092928 0.183848 0.145419 0.103120 0.052491 12
Transportation 0.152724 0.066534 0.255705 0.104060 0.102981 0.037526 2
Utilities -0.259496 0.100649 -0.086613 0.114854 0.172883 0.014205 4

Sources