Luke Bausch

Date of Award

Spring 2021

Degree Name

Bachelor of Science (BS)

Advisor(s)

Sris Chatterjee

Abstract

This paper examines the impact of COVID-19 vaccine announcements on stock market behavior using event study methodology. It explores how investor reactions to vaccine development news during the pandemic influenced abnormal returns in the stock prices of key pharmaceutical companies. The introduction establishes the context of the research by highlighting the significant market downturn at the onset of the pandemic and the subsequent race to develop a vaccine. The conclusion finds that vaccine-related announcements consistently triggered significant abnormal stock returns. Key findings demonstrate that announcements generally led to positive abnormal returns, with smaller companies like Moderna and Novavax experiencing higher percentage changes, and larger companies like Pfizer and Johnson & Johnson seeing greater dollar value changes. This study provides insights into the differential impact of news based on company size and the overall influence of vaccine progress on market behavior. Additionally, this research contributes to the understanding of the broader effects of non-corporate events on financial markets. It suggests further areas for research, including more detailed analyses of specific events and their impacts, control for confounding variables, and comparison with other significant market influences like earnings announcements. This study serves as a foundation for future explorations into the interplay between public health news and economic indicators.

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