期刊
FINANCE RESEARCH LETTERS
卷 35, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2020.101597
关键词
novel coronavirus; COVID-19; stock market volatility; non-pharmaceutical interventions; government policy responses; international financial market; containment and closure
资金
- National Science Centre of Poland [2016/23/B/HS4/00731]
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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