Zulu, Sbongiseni Samkelo Falakhe2025-08-152024Zulu, Sbongiseni Samkelo Falakhe. (2024). COVID-19 health related news and sectoral stock returns sensitivity in South Africa [Master`s dissertation, University of the Witwatersrand, Johannesburg]. WIReDSpace. https://hdl.handle.net/10539/45922https://hdl.handle.net/10539/45922A research report submitted in fulfillment of the requirements for the Master of Commerce, In the Faculty of Commerce, Law and Management, School of Economics and Finance, University of the Witwatersrand, Johannesburg, 2024The purpose of this study is to analyse the relevance of health news related to Covid-19 on South African sectorial stock returns. This is inspired by the global Covid-19 pandemic in predicting sectorial stock returns. This study examines the estimation of dynamic panel data using a dynamic common correlated effects estimator. It employs two pairwise forecast measures, specifically the Campbell & Thompson (2008) and Clark & West (2007) tests, to address the nested predictive models. Thus, this study begins by analysing the impact of health news relating to Covid-19 when control variables are not considered. This is following by when control variables are incorporated into the model. Lastly, the forecasting power of Models 3 and 4 is evaluated by comparing the two models with historical average or constant returns model (CR), for both with and without control variables. The findings of this study reveals that the model incorporating health news indexes outperforms the constant returns model. This proves that health news is a valuable indicator for predicting stock returns, particularly in the wake of the pandemic, underscoring the importance of monitoring health-related information for investment decisions. This study further finds that considering the "asymmetry" effect and incorporating adjustments for macroeconomic factors enhances the predictive accuracy of the health news-driven model. The outcomes remain consistently strong across both the periods of in-sample and out-of-sample forecasts, demonstrating resilience to outliers and variations. These results have practical significance for a range of stakeholders, encompassing academics, practitioners like rational investors, portfolio managers and policymakers. The practical implications extend to aspects such as managing portfolio risk, realizing diversification advantages and exploring opportunities for the creation of innovative investment instruments within financial markets.en© 2024 University of the Witwatersrand, Johannesburg. All rights reserved. The copyright in this work vests in the University of the Witwatersrand, Johannesburg. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of University of the Witwatersrand, Johannesburg.UCTDCovid-19Health NewsStock ReturnsPredictDissertationUniversity of the Witwatersrand, JohannesburgSDG-8: Decent work and economic growthSDG-3: Good health and well-being