COVID-19 containment measures and stock market returns: An international spatial econometrics investigation
Konstantinos Eleftheriou () and
Patroklos Patsoulis ()
Journal of Behavioral and Experimental Finance, 2021, vol. 29, issue C
We investigate the impact of governments’ social distancing measures against the novel coronavirus disease 2019 (COVID-19) as this was reflected on 45 major stock market indices. We find evidence of negative direct and indirect (spillover) effects for the initial period of containment measures (lockdown).
Keywords: COVID-19; Government policy responses; Spillover effects; Stock market volatility (search for similar items in EconPapers)
JEL-codes: C23 G15 I18 (search for similar items in EconPapers)
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Working Paper: COVID-19 containment measures and stock market returns: An international spatial econometrics investigation (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:29:y:2021:i:c:s2214635020303555
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