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COVID-19, various government interventions and stock market performance

Author

Listed:
  • Helong Li
  • Huiqiong Chen
  • Guanglong Xu
  • Weiguo Zhang

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.

Suggested Citation

  • Helong Li & Huiqiong Chen & Guanglong Xu & Weiguo Zhang, 2023. "COVID-19, various government interventions and stock market performance," China Finance Review International, Emerald Group Publishing Limited, vol. 13(4), pages 621-632, September.
    • Handle: RePEc:eme:cfripp:cfri-03-2023-0068
    DOI: 10.1108/CFRI-03-2023-0068
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    Citations

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    Cited by:

    1. Yan, Min & Gong, Xinshu, 2024. "Impact of green credit on green finance and corporate emissions reduction," Finance Research Letters, Elsevier, vol. 60(C).
    2. Wu, Zewen, 2024. "Are we in a bubble? Financial vulnerabilities in semiconductor, Web3, and genetic engineering markets," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 32-44.
    3. Chen, Dan & Tang, Yufei & Zhang, Yuan & Sun, Jingyu, 2024. "COVID-19, financing constraints, and performance of listed tourism companies: Evidence from China," Finance Research Letters, Elsevier, vol. 65(C).
    4. Luo, Changqing & Qu, Yi & Su, Yaya & Dong, Liang, 2024. "Risk spillover from international crude oil markets to China’s financial markets: Evidence from extreme events and U.S. monetary policy," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).

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