Return, Risk and Volatility of Top Ten Vaccine Manufacturer Company Stocks
Keywords:
Investment, Return, Risk, Volatility, Vaccine Manufacturer StockAbstract
A number of medical studies have proven that the COVID-19 vaccine is effective in preventing people from becoming infected with COVID-19. Mostly all governments and organizations have pledged to buy billions of vaccine doses. Therefore, vaccine manufacturer companies stock had been in the focus of interest by many investors.
This research attempted to calculate and compare returns, risks, and volatility of the top ten vaccine manufacturer stocks during January 2020 to April 2021. This research chose to study only the top 10 of these companies according to Meticulous Research (2021), which provides the top ten world leading manufacturer in vaccines market in 2021. These companies were listed in the different stock market such as Euronext Paris, New York Stock Exchange, Tokyo Stock Exchange, Australia Stock Exchange and London Stock Exchange. Daily closing index prices were gathered during January 2020 to April 2021. All stock market prices had been converted to U.S. dollar.
This research utilized Excel (NumXL) add-in as a method of calculating return, risk and volatility by adopting Capital Asset Pricing Model (CAPM) for risk-return relationship, and EGARCH as volatility estimation. Based on the daily stock prices, the Exponential process is used in estimating and forecasting the volatility.
For comparison of the actual returns of the top 10 vaccine manufacturer stocks, the result shows that Daiichi Sankyo had the highest actual returns, which followed by Carlisle, Emergent BioSolutions, Johnson & Johnson, Merck, Pfizer, AstraZeneca, Takeda Pharmaceutical, GlaxoSmithKline and Sanofi.
For comparison of the systematic risk of the top 10 vaccine manufacturer stocks, the result shows that Daiichi Sankyo had the lowest systematic risk, which followed by Sanofi, AstraZeneca, Takeda Pharmaceutical, Pfizer, Johnson & Johnson, GlaxoSmithKline, Merck, Carlisle and Emergent BioSolutions consecutively.
For comparison of volatility of the top 10 vaccine manufacturer stocks, the result shows that Emergent BioSolutions had the highest stock volatility, which followed by Carlisle, Daiichi Sankyo, AstraZeneca, Pfizer, Takeda Pharmaceutical, GlaxoSmithKline, Merck, Sanofi, and Johnson & Johnson.
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