COVID-19, various government interventions and stock market performance
China Finance Review International
ISSN: 2044-1398
Article publication date: 7 September 2023
Issue publication date: 31 October 2023
Abstract
Purpose
According to the Government Response tracker (oxCGRT) index, the overall government response, stringency, economic support, containment and health policies to COVID-19 from January 2020 to December 2022. The main objective of this paper is to explore how stock market performance is affected by these polices, respectively.
Design/methodology/approach
The authors employ EGARCH and autoregressive distributional lag (ARDL) models to test the impact of epidemic prevention policy implementation on stock market returns, volatility and liquidity and make cross-country comparisons for six important world economies.
Findings
Firstly, the implementation of various preventive policies hurts stock market returns and increases volatility, but there are a few indicators that have no effect or have an easing effect in some countries. Secondly, health policies exacerbate market volatility and have a stronger effect than other policy indicators. Thirdly, In China and the USA, anti-epidemic policies have been shown to worsen liquidity, while in Japan they have been shown to improve liquidity.
Originality/value
First, enrich the growing body of COVID-19 research by comprehensively examining whether and how government prevention policies affect stock market returns, volatility and liquidity. Second, explore the impact of different types of intervention policies on stock market performance, separately.
Keywords
Acknowledgements
Corrigendum: It has come to the attention of the publisher that the article “COVID-19, various government interventions and stock market performance” by Helong Li, Huiqiong Chen, Guanglong Xu and Weiguo Zhang, published in China Finance Review International, Vol. 13 No. 4, https://doi.org/10.1108/CFRI-03-2023-0068, displays the affiliation for Helong Li incorrectly. This error was introduced during the submission process. “Helong Li (Department of Finance, South China University of Technology, Guangzhou, China)” has now been changed to “Helong Li (School of Economics and Finance, South China University of Technology, Guangzhou, China)”. The authors sincerely apologise for this error and for any misunderstanding.
Corrigendum: It has come to the attention of the publisher that the article “COVID-19, various government interventions and stock market performance” by Helong Li, Huiqiong Chen, Guanglong Xu and Weiguo Zhang, published in China Finance Review International, Vol. 13 No. 4, https://doi.org/10.1108/CFRI-03-2023-0068, did not include mandatory funding information. This error was introduced during the submission process and has now been corrected in the online article. The authors sincerely apologise for the oversight.
This research is supported by the Key Project of the National Social Science Fund (22AZD039), the Guangzhou Philosophy and Social Science Planning project (2022GZYB08) and the Fundamental Research Funds for the Central Universities (ZDPY202209).
Citation
Li, H., Chen, H., Xu, G. and Zhang, W. (2023), "COVID-19, various government interventions and stock market performance", China Finance Review International, Vol. 13 No. 4, pp. 621-632. https://doi.org/10.1108/CFRI-03-2023-0068
Publisher
:Emerald Publishing Limited
Copyright © 2023, Emerald Publishing Limited