Panel regression method to analyse stock market returns during covid-19 / Nur Mardziah Aziz Jaafar

Aziz Jaafar, Nur Mardziah (2021) Panel regression method to analyse stock market returns during covid-19 / Nur Mardziah Aziz Jaafar. [Student Project] (Unpublished)


Malaysia's earliest COVID-19 patients, reported on January 25, 2020, were travellers from China to Malaysia through Singapore. However, small number of confirmed cases were detected before March 2020. There was a religious gathering in a mosque in February 2020 due to which many positive cases were reported in the next month. Consequently, the Prime Minister of Malaysia called for the 'Movement Control Order' as of March 18, 2020. This study aimed to determine the aftereffects of COVID-19 outbreaks on stock market during the pandemic. It attempted to determine the correlation between market returns and daily growth of total new and death cases of COVID-19. To achieve the study's objective, this research has implemented the Panel Regression Method, Pooled Ordinary Least Square and fixed-effect method to analyse the daily growth of new confirmed cases and death cases of COVID-19. Using the data of the new and death cases of COVID-19 outbreak in Malaysia, the results show that the stock market returns were negative and had a significant relationship to both total new cases and death cases' daily growth since the p-value is less than 0.1, 0.05, and 0.01. The findings also indicated that all the stock market sector indices were badly affected by the COVID-19. Besides helping investors make the right decision during a pandemic crisis, the findings can be expanded, in future research, by increasing the data frame, independent variables and finding the impact of the more specific indices of the sector.


Item Type: Student Project
Email / ID Num.
Aziz Jaafar, Nur Mardziah
Subjects: H Social Sciences > HG Finance > Investment, capital formation, speculation > Stock exchanges. Insider trading in securities
Q Science > QA Mathematics > Multivariate analysis. Cluster analysis. Longitudinal method > Regression analysis. Correlation analysis. Spatial analysis (Statistics)
Divisions: Universiti Teknologi MARA, Perlis > Arau Campus > Faculty of Computer and Mathematical Sciences
Programme: Management Mathematics
Keywords: COVID-19 ; Fixed Effect Method ; Panel Regression ; Pooled Ordinary Least Square Method ; Stock Market Returns
Date: 12 August 2021
Edit Item
Edit Item


[thumbnail of 49462.pdf] Text

Download (127kB)

Digital Copy

Digital (fulltext) is available at:

Physical Copy

Physical status and holdings:
Item Status:

ID Number




Statistic details