The COVID-19 and Stock Markets returns: evidence from the Europe, USA and Japan

This thesis aims to study two research questions. On one hand, this thesis evaluates the performance of the Fama French 3 factors model in developed stock markets during the COVID-19 pandemic. In particular, the study investigates the functionality of the Fama French 3 factors model during the turbulent COVID-19 period in the European, American and Japanese stock markets. On the other hand, the Fama French 3 factors model is deployed to analyse the potential impacts of the pandemic on industry returns in America. The model regressions derive monthly data from January 2012 to December 2021. The empirical results suggest a strong capacity of the Fama French 3 factors in explaining the stock returns in all three studied stock markets, even during the unsettled period of coronavirus. The model outputs show more severe repercussions of the coronavirus on the small size enterprises than large size companies. When incorporating COVID variables in the basic 3 risk factors model in America, the result shows that only the returns of service-related sectors are statistically affected by the pandemic factor.