The COVID-19 pandemic, policy responses and stock markets in the G20

COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective

“…Firstly, the relationship between COVID-19 stringency indexes and stock markets is time-varying. Before the advent of COVID-19 vaccination, we find that the changes of COVID-19 stringency indexes have negative impact on stock market returns, which keeps in line with Abdullah et al (2022) , Aharon & Siev (2021) , Kheni & Kumar (2021) and Caporale et al (2022) . Our empirical results suggest that the total volatility of COVID-19 stringency indexes positively correlates to the total volatility of stock markets, on some extent, providing evidence that support the research results of Martins & Cró (2022) , Bouri et al (2022) , Wang et al (2021) , Narayan et al, 2021 ; Xie & Zhou (2022) .…”

“…However, Abdullah et al (2022) find that the long-term and short-term negative effect is asymmetric, Anh & Gan (2020) find than Vietnam's stock returns react negatively COVID-19 pre-lock down while positively during the lockdown period. Narayan et al (2021) find that lockdowns have a positive effect on the G7 stock markets, while Caporale et al (2022) find that the stock markets of G7 countries are affected negatively by government restrictions. Scherf et al (2022) also find that COVID-19 restrictions lead to different reactions OECD and BRICS countries.…”

“…There has been a string of studies on what happens to stock markets during COVID-19 pandemic. Throughout the existing literature, a small part of studies pay attention on the impact of COVID-19 restriction policies on stock market in given countries, such as the United States ( Martins & Cró, 2022 ; Mishra et al, 2022 ), Vietnam ( Anh & Gan, 2020 ), Malaysia ( Xie & Zhou, 2022 ), G20 countries ( Caporale et al, 2022 ), G7 countries ( Narayan et al, 2021 ). Using different methods and different empirical sample, different findings are generated on the relationship between COVID-19 restriction policy.…”

“…Using different methods and different empirical sample, different findings are generated on the relationship between COVID-19 restriction policy. Some scholars argue that stock returns are negatively affected by government restrictions ( Abdullah et al,2022 ; Aharon & Siev,2021 ; Kheni & Kumar,2021 ; Caporale et al,2022 ), but some other scholars argue that stock markets react positively to government lockdown policies ( Martins & Cró, 2022 ; Bouri et al,2022 ; Wang et al,2021 ; Narayan et al, 2021 ; Xie & Zhou (2022) . However, Abdullah et al (2022) find that the long-term and short-term negative effect is asymmetric, Anh & Gan (2020) find than Vietnam's stock returns react negatively COVID-19 pre-lock down while positively during the lockdown period.…”

“…Our study has some contributions as follows. First of all, unlike the literature that purely studies the relationship between vaccinations and the stock market (e.g., Apergis et al, 2022 ; Behera et al, 2022 ), or purely studies the impact of COVID-19 government restrictions on stock market (e.g., Anh & Gan, 2020 ; Narayan et al, 2021 ; Caporale et al, 2022 ; Kizys et al, 2021 ; Scarcella et al, 2022 ; Xie & Zhou, 2022 ), we systematically examine the impact of COVID-19 government restrictions on stock market and the role played by COVID-19 vaccination. We not only explore the role of the advent of COVID-19 vaccination, but also examine whether COVID-19 restriction policy can play a mediate path in the impact of COVID-19 vaccination rate on stock markets.…”