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COVID-19 Lockdown Intensity and Stock Market Returns: A Spatial Econometrics Approach

Eleftheriou, Konstantinos and Patsoulis, Patroklos (2020): COVID-19 Lockdown Intensity and Stock Market Returns: A Spatial Econometrics Approach.

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Abstract

We investigate the impact of governments’ social distancing measures against the novel coronavirus disease 2019 (COVID-19) on 45 major stock market indices. We find evidence of negative direct and indirect (spillover) effects for the initial period of containment measures (lockdown).

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