“…The first is the growing body of literature on COVID-19. Its impact on economy ( Makin and Layton, 2021 , Yoshino et al, 2021 , Yagi and Managi, 2021 ), government ( Sharma et al, 2020 , Tisdell, 2020 , Park and Chung, 2021 ) and publics ( Vally, 2020 , Watkins and Maruthappu, 2020 ) have unfolded. Given greater availability of data, the research about the effect of COVID-19 on stock market is rich and can be categorized into following aspects: (a) the negative effect of COVID-19 on firm and industry performances ( Gu et al, 2020 , He et al, 2020a , He et al, 2020b , Iyke, 2020a , Qin et al, 2020 , Xiong et al, 2020 ); (b) the increased stock return volatility due to the COVID-19 pandemic ( Dai et al, 2021 , Liu et al, 2020a , Liu et al, 2021 , Nguyen et al, 2021 , Phan and Narayan, 2020 ); (c) the fear sentiment because of the COVID-19 ( Ahmed, 2020 , Baig et al, 2020 , Hoang and Syed, 2021 ); (d) the risk contagion as a result of the COVID-19 pandemic ( Abuzayed et al, 2021 , Akhtaruzzaman et al, 2020 , Corbet et al, 2021 , Jiang et al, 2020 , Sharma, 2020 , Zhang et al, 2021 ).…”