The Emergence of Covid-19 and Capital Market Reaction: An Emerging Market Scenario Analysis

This paper investigates the capital market reaction to first detection of COVID-19 in Bangladesh. Using a sample 314 listed firms Dhaka stock Exchange (DSE), this study employed event methodology (ESM) find any abnormal return (AR) associated announcement. Three different models namely mean-adjusted return, market-adjusted and model have been used calculate test statistical significance using both parametric crude dependence standardised cross-sectional T along with non-parametric generalised sign-test Corrado rank-test. The findings suggest that, despite perceived weak efficiency, announcement has significant negative impact on overall day. Additionally, result exhibits indifferent industry segments such as manufacturing, service, financial, non-financial, pharmaceuticals IT telecommunication sectors. results would be useful for investors, industrial financial analysts accessing volatile systemic risk building an optimal portfolio solve pandemic dilemma effectively.