Asia-Pacific Journal of Business (아태비즈니스연구)

KNU The Institute of Management & Economy Research (강원대학교 경영경제연구소)
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Does the Pandemic Declaration influence the Firm Value of the Untact Firms?

팬데믹 선언이 언택트 기업의 기업가치에 미치는 영향: 투자자 마니아 가설을 중심으로

  • Park, Su-Kyu (Department of Economics and Finance, Hanyang University) ;
  • Cho, Jin-Hyung (Department of Economics and Finance, Hanyang University)
  • 박수규 (한양대학교 경제금융학과) ;
  • 조진형 (한양대학교 경제금융학과)
  • Received : 2022.02.28
  • Accepted : 2022.03.25
  • Published : 2022.03.30
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Abstract

Purpose - The purpose of this study is to examine the impact of the Pandamic Declaration on 'untact firms' listed in KOSPI and KOSDAQ market in order to verify Investor Mania Hypothesis. Design/methodology/approach - This study collected financial data for 44 untact firms in KOSPI and KOSDAQ market. Then, we employed ESM(Event Study Methodology), EGARCH model and DID(Difference-In-Difference) for analysis. Findings - First, in contrast with the benchmarking index, KOSPI 200 which shows a negative (-) abnormal return trend, the untact firms have positive abnormal return trend consistently. Second, after the Pandemic Declaration, the variability of abnormal return for the untact firms is found to be significantly positive. Third, we find that the cumulative abnormal return and volatility of the untact firms significantly increase after the Pandemic Declaration. Research implications or Originality - Based on the Investor Mania Hypothesis, we confirm that the market potential of untact firms after the Pandemic Declaration is observed when compared with the KOSPI 200.

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