Ural Federal University: Vaccine Producers Affect Each Other’s Stock Price


A team of scientists found that Covid-19 vaccine companies influence each other’s stock prices as well as market volatility. It turned out that some companies (e.g., the British-Swedish and the U.S.) have more influence, while others (e.g., the Chinese) have less. Such conclusions were reached by economists who analyzed the stock prices of major vaccine manufacturers: Moderna, Pfizer, Johnson & Johnson, Sinopharm and AstraZeneca. They tracked the indicators in dynamics: before and after the release of medicines against coronavirus. The results of the study are published in the journal Mathematics.

“The pandemic has set a high level of uncertainty. In times of crisis like this, investors look for safer assets and prefer to invest in things that can potentially promise success during a pandemic or crisis. In 2020-2021, as well, we saw an increase in investment in vaccine companies, which boosted their stock price. The start of vaccine production created a positive sentiment among investors. They viewed the shares of manufacturing companies as safe and highly profitable investments, a kind of promise of potential success in difficult times,” says Kazi Sohag, Associate Professor at the Ural Federal University Department of Economics, a co-author of the study.

Using sophisticated econometric methods, such as the TVP-VAR dynamic linkage approach, the researchers were able to find that stock volatility or significant events in one company affect another vaccine manufacturer and affect its stock price. Researchers cite the creation of vaccines, the start of mass production and sales of the medicine in other countries, and other events as examples of such events. The volatility of one company is transmitted to the other, and an increase in one manufacturer’s stock price affects a decrease in the stock price of the other.

“For example, the increase in the Total Connectedness Index (TCI) from the second quarter of 2021 was due to vaccine releases in late 2020 and early 2021. Notably, Moderna proved to be the most prominent transmitter of net volatility, while Sinopharm was the most sensitive receiver of net volatility,” explains Kazi Sohag.

The authors of the study note that AstraZeneca and Moderna feel market volatility more than others, but they are also the most prominent source of volatility. Moderna has more influence on Pfizer and the least on Johnson & Johnson. The only company that affects Moderna is AstraZeneca. Sinopharm, on the one hand, receives side effects of volatility from Moderna, Pfizer, AstraZeneca, and Johnson & Johnson, and on the other hand, contributes the least to volatility and does not transmit volatility to other companies and the market. Consequently, Sinopharm is the receiver with the highest volatility.

Stock market volatility can be caused by factors such as critical political decisions, referendums, economic crises, stock and bond market uncertainty, high inflation and fluctuations in oil and natural gas prices, experts explain. Meanwhile, the volatility of developed stock markets affects emerging stock markets, which in turn cannot affect developed markets.

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