Impacts of COVID-19 on Stock Markets: Evidence from Stylized Facts of Technology Companies

The outbreak of the COVID-19 pandemic in 2019 has significantly impacted the stock market. The aim of the present study is to investigate whether the COVID-19 pandemic changed the statistical properties of stock return series and whether some stylized facts, which referred to the consistent characteristics across various instruments, markets, and periods, still holds true based on stock data of 34 US technology companies. Some of the common statistical properties of stock returns data include the absence of autocorrelations, volatility clustering, negative skewness and existence of cross-correlations of absolute returns, amongst others. The analysis in this study is based on the stock data of 34 US companies that have large market capitalizations. The pre-Covid data shows an absence of autocorrelation. Contrastingly, this study shows that autocorrelation exists under the circumstances of COVID-19. This study also demonstrates that volatility clustering exists both before and during the pandemic. Moreover, the stock market during the pandemic is more volatile than before. The study also contradicts the stylized fact of negative skewness of return series and about 50% of the companies’ return series also show positive skewness. Furthermore, the data disputes the existence of cross-correlations between absolute returns across multivariate series.