코로나19 방역정책이 글로벌 주식시장에 미치는 경제적인 영향 분석

Abstract

This paper investigates the impact of COVID-19 global fear index and government response index on the returns an volatiles of stock markets. Applying the panel data regression, this paper utilizes the COVID-19 confirmed cases and deaths, and the government response indices. This paper finds several empirical results. First, the government response index has a negative impact on the returns of stock markets. This finding indicates that pessimistic investors lead to fall the stock returns down. Second, COVID-19 fear index intensifies the uncertainty of stock markets with a increase in volatilities. Third, stringency index and government response index have a negative impact on investors’ sentiments and increase high volatility. Finally, containment and health index stimulates optimistic sentiments for investors and stabilizes the volatility of stock markets. As a result, COVID-19 pandemic aggravates investors’ sentiments and enlarges the volatility of stock markets. In addition, the government response policy affects the returns and volatility of stock markets. This finding indicate that the government response policy of COVID-19 pandemic stimulates the investor sentiment of stock markets.