In the Eye of a Pandemic: An Event Study of the Swedish Stock Market Reactions to the Covid-19 Press Conferences

Sammanfattning: Using intraday trading data for the Swedish stock market, this paper examines the stock market reactions to The Public Health Agency of Sweden's daily press conferences covering Covid-19. Our results indicate that stock returns immediately drop at the 1% significance level when negative news are announced. When no additional restrictions are introduced, the stock returns steadily increase across the press conference. Trading volume increases at the 1% significance level, independent by sentiment, when the press conference ends. Additional tests on the industries in our sample show significant increases in stock returns, but no significant decreases. Moreover, the industry analysis shows that the "Health Care" industry faces the largest change in trading volume during the press conferences. We relate these results to previous research on trading behaviors in times of uncertainty and theories within behavioral finance. The discussion also covers the implications of the debated Swedish Covid-19 strategy of keeping society and businesses running despite the ravaging pandemic. Our results suggest that investors attribute value to the press conferences, in addition to the news presented, proposing that sentiment among investors is an important factor when explaining the trading behavior at this time.