The assessment of the COVID-19 pandemic’s impact on the level of market risk in European companies on the basis of structural changes in the CAPM model

Piotr  Szczepocki; Ewa Feder-Sempach

doi:https://doi.org/10.59139/ws.2025.04.1

Piotr Szczepocki Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny, Instytut Statystyki i Demografii, Polska / University of Lodz, Faculty of Economics and Sociology, Institute of Statistics and Demography, Poland ORCID: https://orcid.org/0000-0001-8377-3831 , Ewa Feder-Sempach Uniwersytet Łódzki, Wydział Ekonomiczno-Socjologiczny, Instytut Ekonomii, Polska / University of Lodz, Faculty of Economics and Sociology, Institute of Economics, Poland ORCID: https://orcid.org/0000-0001-9586-1417 Wiadomości Statystyczne. The Polish Statistician, vol. 70, 2025, 4, s. 1-21 Opublikowano online: 30 kwietnia 2025 DOI https://doi.org/10.59139/ws.2025.04.1 Sposób cytowania: Szczepocki, P., Feder-Sempach, E. (2025). The assessment of the COVID-19 pandemic’s impact on the level of market risk in European companies on the basis of structural changes in the CAPM model. Wiadomości Statystyczne. The Polish Statistician, 70(4), 1–21. https://doi.org/10.59139/ws.2025.04.1.

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ARTYKUŁ

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STRESZCZENIE

The crisis caused by the COVID-19 pandemic had a considerable impact on financial markets. The main aim of the study presented in this paper is the assessment of the pandemic’s impact on the level of market risk in the STOXX Europe 600 index companies. The study sample consisted of 243 companies from different European countries and industries listed in euros. The data, for the years 2014–2023, came from the Refinitiv EIKON database. On the basis of the companies’ quotations before the pandemic and after its containment, structural changes in the Capital Asset Pricing Model (CAPM) were analysed. The CAPM model uses the beta coefficient to measure the average level of market (systematic) risk. The study uses the Andrews test to verify the structural changes in a specified period (here: throughout the COVID-19 pandemic).
The results showed structural changes caused by the COVID-19 pandemic in 56 companies, i.e. 23% of the research sample. Not all countries or industries were affected by the crisis. Large stock market capitalisation countries, like France, Germany, Belgium or Spain were impacted to a larger degree than smaller ones. The most changes were observed in the Real Estate sector, marked by the largest number of aggressive companies. The Consumer Non-Cyclical Industry, on the other hand, was the least affected sector. After the COVID-19 crisis, the average level of systematic risk measured by the beta coefficient increased in 38 companies and decreased in 18, which indicates a generally higher level of market risk.

SŁOWA KLUCZOWE

market risk CAPM, structural changes, COVID-19 pandemic, European companies

JEL

C10, C12, C22, C58, G10, G11, G15

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