Xie Lijuan, Wang Mei, Huynh Toan Luu Duc
Chair of Behavioral Finance, WHU - Otto Beisheim School of Management, Germany.
School of Banking, University of Economics Ho Chi Minh City, Vietnam.
Financ Res Lett. 2022 May;46:102361. doi: 10.1016/j.frl.2021.102361. Epub 2021 Jul 29.
We conduct a country-level analysis with a sample of 44 countries to examine whether generalised social trust has an impact on the stock market reaction to government announcements of lockdown and reopening during the COVID-19 pandemic. We first conduct an event study to measure the global stock markets' reaction to government announcements of lockdown and reopening, which is measured by each stock market's cumulative abnormal return. We then employ regression analysis to investigate the relationship between generalised social trust and the stock markets' reaction to government announcements of lockdown and reopening. The results show that government announcement of lockdown had a significant negative influence on most of the stock markets, whereas the magnitude of the stock markets' reaction to government announcement of reopening is relatively marginal, indicating a possible negative bias. Moreover, we find that generalised social trust is positively related to the stock markets' reaction to government announcement of lockdown and negatively related to the stock markets' reaction to government announcement of reopening.
我们对44个国家的样本进行了国家层面的分析，以检验在新冠疫情期间，广义社会信任是否会对股市对政府封锁和重新开放公告的反应产生影响。我们首先进行了一项事件研究，以衡量全球股市对政府封锁和重新开放公告的反应，这通过每个股票市场的累计异常回报来衡量。然后，我们运用回归分析来研究广义社会信任与股市对政府封锁和重新开放公告的反应之间的关系。结果表明，政府的封锁公告对大多数股票市场产生了显著的负面影响，而股市对政府重新开放公告的反应幅度相对较小，这表明可能存在负面偏差。此外，我们发现广义社会信任与股市对政府封锁公告的反应呈正相关，与股市对政府重新开放公告的反应呈负相关。
