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

Christos Alexakis (1) , Konstantinos Eleftheriou (2) , Patroklos Patsoulis (2)

1 ESC [Rennes] - ESC Rennes School of Business
2 University of Piraeus

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).

Mots clés: COVID-19; Government policy responses; Spillover effects; Stock market volatility

Domaines: Économie et finance quantitative [q-fin]; Econométrie de la finance [q-fin.ST]

Christos Alexakis, Konstantinos Eleftheriou, Patroklos Patsoulis. COVID-19 containment measures and stock market returns: An international spatial econometrics investigation. Journal of Behavioral and Experimental Finance, 2021, 29, pp.100428. ⟨10.1016/j.jbef.2020.100428⟩. ⟨hal-03163917⟩