Measuring COVID-19 Uncertainty Index and its Impact on the Performance of Pharmaceutical Companies in the Tehran Stock Exchange

Document Type : Original Article

Authors

1 Ph.D. Student in Health Economics, Department of Economic Development and Planning, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran

2 Associate Professor, Department of Economic Development and Planning, Faculty of Management and Economics, Tarbiat Modares University, Tehran, Iran

10.22034/jepr.2025.142912.1225

Abstract

This research has two main objectives: estimating the COVID-19 uncertainty index and examining its impact on the stock prices of pharmaceutical companies listed on the Tehran Stock Exchange during April 2020 to July 2023. the COVID-19 uncertainty index was first estimated using the GARCH model and daily data on the number of infections, deaths, and vaccine doses. Additionally, the impact of this index on the stock market was analyzed using the Structural Vector Autoregression model. The results show in the face of COVID-19 uncertainty, the pharmaceutical stock index initially rises but decreases in the long term. Furthermore, oil and Bitcoin shocks have had a negative effect on the index, while the reaction to gold shocks was initially negative and then positive. The exchange rate shock is considered negative in the short term but positive in the long term. Variance analysis indicates that the COVID-19 uncertainty explains more than 32% of the changes in the index during the tenth period. Additionally, the exchange rate has played a significant role in the long term, while the effects of oil, gold, and Bitcoin shocks have been relatively smaller. The findings emphasize the importance of considering complementary economic factors in analyzing stock market fluctuations.

Keywords

Main Subjects

Files

History

  • Receive Date: 06 January 2025
  • Revise Date: 26 March 2025
  • Accept Date: 01 April 2025
  • Publish Date: 22 June 2025

Share

How to cite

Statistics