新冠疫情政府限制政策、新冠疫苗接种与股票市场：全球视角的证据

Yu Xiaoling, Xiao Kaitian

Business School, Foshan University, Foshan, China.

Research Centre for Innovation & Economic Transformation, Research Institute of Social Sciences in Guangdong Province, China.

Financ Res Lett. 2023 May;53:103669. doi: 10.1016/j.frl.2023.103669. Epub 2023 Jan 25.

We use the COVID-19 stringency index to investigate the relationship among COVID-19 government restriction policy, COVID-19 vaccination and stock markets. We find that the impact of the change rate of COVID-19 stringency index on stock returns turns from significant in the pre-vaccination period to insignificant in the post-vaccination period. Bad news from COVID-19 restriction policy cause more stock volatilities than good news. The advent of COVID-19 vaccination weakens the linkage of COVID-19 stringency index and stock market, while COVID-19 stringency index only plays a partially mediate role in the correlation between COVID-19 cumulative vaccination rate and stock market performance.

我们使用新冠疫情防控强度指数来研究新冠疫情政府限制政策、新冠疫苗接种与股票市场之间的关系。我们发现，新冠疫情防控强度指数变化率对股票回报的影响从疫苗接种前的显著变为疫苗接种后的不显著。来自新冠疫情限制政策的坏消息比好消息导致更多的股票波动。新冠疫苗接种的出现削弱了新冠疫情防控强度指数与股票市场的联系，而新冠疫情防控强度指数在新冠累计疫苗接种率与股票市场表现之间的相关性中仅起到部分中介作用。