Aggarwal Shobhit, Nawn Samarpan, Dugar Amish
Indian Institute of Management Udaipur, India.
Financ Res Lett. 2021 Jan;38:101827. doi: 10.1016/j.frl.2020.101827. Epub 2020 Nov 2.
This paper isolates the different effects of COVID-19 on the stock market returns and identifies the channels through which each of the effects influences the returns. Using a sample of twelve countries with most liquid stock markets, we find that the panic caused by the pandemic affects the stock return negatively through the updation of market risk premium channel. The stringency of the lockdown has a two-way effect on the stock market returns, whereas it affects the return negatively through the updation of growth forecasts, it also affects the return positively through the updation of market risk premium.
本文分离了新冠疫情对股票市场回报的不同影响，并确定了每种影响通过何种渠道影响回报。我们以十二个拥有流动性最强股票市场的国家为样本，发现疫情引发的恐慌通过市场风险溢价的更新对股票回报产生负面影响。封锁的严格程度对股票市场回报有双向影响，它通过增长预期的更新对回报产生负面影响，同时也通过市场风险溢价的更新对回报产生正面影响。
