The Impact of COVID-19 on Market Risk of S&P 500 Companies

This study examines the impact of COVID-19 on market risk by analyzing the beta values of 457 companies within the S&P 500 index. We collected daily stock prices from January 1, 2017, to December 28, 2023, excluding the year 2020 due to the excessive, unexpected fluctuations in the market at the given time period. To assess changes in systematic risk, we compared beta values across four time windows—3-year, 2-year, 1-year, and 9-month—before and after COVID-19. Our analysis revealed a consistent decline in beta values across all time frames. Specifically, the average beta decreased from 0.919 to 0.537 in the 3-year window, from 0.910 to 0.652 in the 2-year window, from 0.965 to 0.907 in the 1-year window, and from 0.972 to 0.908 in the 9-month window. These findings suggest that market risk, as measured by beta, declined in the post-pandemic period, potentially indicating a shift in investor risk perception or structural changes in market dynamics.