Bakry Walid, Kavalmthara Peter John, Saverimuttu Vivienne, Liu Yiyang, Cyril Sajan
School of Business, Western Sydney University, Sydney, Australia.
UNSW Business School, University of New South Wales, Sydney, Australia.
Financ Res Lett. 2022 May;46:102350. doi: 10.1016/j.frl.2021.102350. Epub 2021 Jul 20.
We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We categorize stock markets into emerging and developed markets and consider differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these markets with respect to investors' interpretation of risk in response to daily new confirmed cases, death rates, recovery rates, and different defensive government interventions. We suggest explanations for these differences, in terms of national culture, and the quality of governance. Moreover, the development of Pfizer-BioNTech's vaccine is of immense importance to both markets. The findings have implications for tailoring government responses to crises in country-specific contexts.
我们研究了新冠疫情相关公告的每日发布、政府的防御性干预措施与股票市场波动之间的关系，利用长达一年的扩展时间段，以独立测试、确认并迭代改进先前的研究结果。我们将股票市场分为新兴市场和发达市场，并使用非对称波动性度量来考量它们之间的异同。我们发现，在投资者对每日新增确诊病例、死亡率、康复率以及政府不同防御性干预措施所做出的风险解读方面，这些市场存在重大差异。我们从国家文化和治理质量方面对这些差异给出了解释。此外，辉瑞-生物科技公司疫苗的研发对这两个市场都至关重要。这些研究结果对于在特定国家背景下量身定制政府应对危机的措施具有启示意义。
