Infected markets: novel coronavirus, government interventions, and stock return volatility around the globe
Infected markets: novel coronavirus, government interventions, and stock return volatility around the globe
Do government interventions aimed at curbing the spread of COVID-19 affect stock market volatility? To answer this question, we explore the stringency of policy responses to the novel coronavirus pandemic in 67 countries around the world. We demonstrate that non-pharmaceutical interventions significantly increase equity market volatility. The effect is independent from the role of the coronavirus pandemic itself and is robust to many considerations. Furthermore, two types of actions that are usually applied chronologically particularly early—information campaigns and public event cancellations—are the major contributors to the growth of volatility.
COVID19, containment and closure, government policy responses, international financial market, non-pharmaceutical interventions, novel coronavirus, stock market volatility
1-7
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Aharon, David Y.
3108729a-17ec-4bd6-b8fe-2559e45770d5
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2
July 2020
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Aharon, David Y.
3108729a-17ec-4bd6-b8fe-2559e45770d5
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2
Zaremba, Adam, Kizys, Renatas, Aharon, David Y. and Demir, Ender
(2020)
Infected markets: novel coronavirus, government interventions, and stock return volatility around the globe.
Finance Research Letters, 35, , [101597].
(doi:10.1016/j.frl.2020.101597).
Abstract
Do government interventions aimed at curbing the spread of COVID-19 affect stock market volatility? To answer this question, we explore the stringency of policy responses to the novel coronavirus pandemic in 67 countries around the world. We demonstrate that non-pharmaceutical interventions significantly increase equity market volatility. The effect is independent from the role of the coronavirus pandemic itself and is robust to many considerations. Furthermore, two types of actions that are usually applied chronologically particularly early—information campaigns and public event cancellations—are the major contributors to the growth of volatility.
Text
Accepted Manuscript
- Accepted Manuscript
More information
Accepted/In Press date: 18 May 2020
e-pub ahead of print date: 21 May 2020
Published date: July 2020
Additional Information:
© 2020 The Authors.
Keywords:
COVID19, containment and closure, government policy responses, international financial market, non-pharmaceutical interventions, novel coronavirus, stock market volatility
Identifiers
Local EPrints ID: 441802
URI: http://eprints.soton.ac.uk/id/eprint/441802
ISSN: 1544-6123
PURE UUID: 32f732e3-c1b0-4939-bdfe-ce0d091c1cb5
Catalogue record
Date deposited: 29 Jun 2020 16:30
Last modified: 17 Mar 2024 03:57
Export record
Altmetrics
Contributors
Author:
Adam Zaremba
Author:
David Y. Aharon
Author:
Ender Demir
Download statistics
Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.
View more statistics
