Investigating the Effect of Macroeconomic Factors on Stock Returns During the Outbreak of Covid-19 (Case Study of Selected Industries of Tehran Stock Exchange)

One of the major events of 2020 is the corona epidemic disease, which has a profound impact on the global economy and financial markets. Because stock market returns react to important events, this study examines the stock returns of food, agriculture, pharmaceutical, tourism, and hotel industries in the context of the corona epidemic. For this purpose, using the data panel method, we have investigated the effect of daily deaths due to the Covid-19 virus from 22/02/2020 to 31/07/2021. The results indicate that the death numbers due to Covid-19 have a significant and asymmetric relationship with the stock returns of selected industries. Other variables, including the exchange rate-US dollar and the price of 18-carat gold, were also examined and had a significant, positive, and negative relationship with the stock returns of selected industries. Further analysis shows the asymmetric effect of Covid-19 mortality on stock returns of various industries. So that the return on stocks of the tourism industry, hotel management has a negative and significant relationship with daily mortality due to Corona. The variable of the daily death numbers due to Covid-19 with the stock returns of food and pharmaceutical industries is positive and statistically significant.