Date of Publication


Document Type

Bachelor's Thesis

Degree Name

Bachelor of Science in Management of Financial Institutions

Subject Categories

Finance and Financial Management


Ramon V. Del Rosario College of Business


Financial Management Department

Thesis Advisor

Rene B. Betita

Defense Panel Chair

Dioscoro P. Baylon, Jr.

Defense Panel Member

Tomas S. Tiu
Jenny Beb Feraer-Ebo


The relationship between stock returns and systematic risk before and during the COVID-19 epidemic is investigated in this study. The samples will be indexed stocks from the ASEAN-5 countries' respective stock markets from January 2010 to December 2019, which corresponds to the pre-pandemic era, and from January 2020 to December 2020, which corresponds to the COVID-19 period. This research will look at theories including Capital Market Theory, Prospect Theory, EMH Theory, and Signaling Theory. To assess the link between the independent and dependent variables; descriptive statistics, classical assumption tests, and panel data approach were used as data analytic approaches in this research. The results of the panel regression, particularly the random effects model, show that systematic risk has a significant impact on stock returns for both the pre-pandemic and during the pandemic periods. In addition, there is a difference in systematic risk before and during the pandemic. In accordance with these findings, the researchers have indicated recommendations for industry practitioners, retail investors, senior executives, and future researchers. For industry practitioners and retail investors to remain aware and cautious of the market as there is still uncertainty on what the ongoing COVID-19 pandemic may still bring. The senior executives should also be aware and research the overall market in order to make sound financial decisions. Lastly, for future researchers to consider adding other financial variables and to expand the timeframe of this research as the pandemic is still ongoing.

Keywords: COVID-19, stock returns, systematic risk, panel data, ASEAN-5

Abstract Format






Physical Description

vii, 53, 6 leaves


Stocks—Southeast Asia--Rate of return

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