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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
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
1544-6123
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
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, 1-7, [101597]. (doi:10.1016/j.frl.2020.101597).

Record type: Article

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.

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Accepted/In Press date: 18 May 2020
e-pub ahead of print date: 21 May 2020
Published date: July 2020
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
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 29 Jun 2020 16:30
Last modified: 28 Apr 2022 02:27

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Contributors

Author: Adam Zaremba
Author: Renatas Kizys ORCID iD
Author: David Y. Aharon
Author: Ender Demir

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