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COVID-19 containment measures and stock market returns: An international spatial econometrics investigation

Author

Listed:
  • Christos Alexakis

    (ESC [Rennes] - ESC Rennes School of Business)

  • Konstantinos Eleftheriou

    (University of Piraeus)

  • Patroklos Patsoulis

    (University of Piraeus)

Abstract

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).

Suggested Citation

  • Christos Alexakis & Konstantinos Eleftheriou & Patroklos Patsoulis, 2021. "COVID-19 containment measures and stock market returns: An international spatial econometrics investigation," Post-Print hal-03163917, HAL.
    • Handle: RePEc:hal:journl:hal-03163917
    DOI: 10.1016/j.jbef.2020.100428
    Note: View the original document on HAL open archive server: https://rennes-sb.hal.science/hal-03163917
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    More about this item

    Keywords

    COVID-19; Government policy responses; Spillover effects; Stock market volatility;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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