Publication | Open Access
COVID-19 Lockdown Intensity and Stock Market Returns: A Spatial Econometrics Approach
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2020
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Empirical FinanceContainment MeasuresSpatial EconometricsSocial Distancing MeasuresCovid-19Initial PeriodManagementEconomic AnalysisFinancial EconometricsStock Market ReturnsEconomicsGlobal Health CrisisCovid-19 PandemicInternational TransmissionFinanceCovid-19 Lockdown IntensityFinancial EconomicsBusinessEconometricsEpidemic IntelligenceSocial DistancingFinancial Crisis
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).