COVID-19 Lockdown Intensity and Stock Market Returns: A Spatial Econometrics Approach

Konstantinos Eleftheriou and Patroklos Patsoulis ()

MPRA Paper from University Library of Munich, Germany

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).

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)
Date: 2020-05-25
New Economics Papers: this item is included in nep-ure
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Citations: View citations in EconPapers (10)

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https://mpra.ub.uni-muenchen.de/102321/1/MPRA_paper_102321.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/100691/1/MPRA_paper_100691.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:100662

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