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.

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).

• Item Type: MPRA Paper
• Language: English
• Keywords: COVID-19; government policy responses; spillover effects; stock market volatility
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets; I - Health, Education, and Welfare > I1 - Health > I18 - Government Policy ; Regulation ; Public Health

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