Analýza dopadu pandemie COVID-19 na volatilitu akcií amerických farmaceutických společností

Sedláková, Václava

This thesis examines the impact of the COVID-19 pandemic on the volati- lity and co-movement of US biopharmaceutical companies. As a major global shock, the pandemic generated substantial uncertainty across financial markets. At the same time, the biopharmaceutical sector was uniquely positioned due to its central role in vaccine development and the broader pandemic response. The analysis investigates whether the pandemic led to structural changes in financial risk, whether these effects differed between vaccine-producing and non-vaccine firms, and whether they were temporary or persistent. To ad- dress these questions, the study combines volatility and correlation modelling techniques with panel regression analysis incorporating epidemiological indi- cators, policy measures, vaccination progress, and pandemic phase variables. The results suggest that the financial effects of COVID-19 on the sector were heterogeneous and time-varying. Volatility increased sharply during the early stages of the pandemic but gradually normalised, indicating a largely tempo- rary effect. In contrast, co-movement with the broader US market evolved more unevenly, with domestic pandemic developments increasing correlation while severe global conditions reduced it. Overall, the findings suggest that sector-wide forces...

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