Universiti Malaysia Sarawak, Kota Samarahan, Malaysia.
Universiti Malaysia Sabah, Kota Kinabalu, Malaysia.
PLoS One. 2023 Jan 31;18(1):e0277252. doi: 10.1371/journal.pone.0277252. eCollection 2023.
This paper examines the impact of non-pharmaceutical intervention by government on stock market return as well as volatility. Using daily Malaysian equity data from January 28, 2020 to May 31, 2022, the regression analysis with bootstrapping technique reveals that the government's response in combating the deadly virus through Stringency index has shown a positive direct effect on both stock market returns and volatility, and indirect negative effect on stock market returns. The study revealed that international travel restriction and cancelling public events are the major contributors to the growth of volatility when estimated for Malaysia stock market index. On the one hand, heterogenous impact is expected from the perspective of different sectors when the individual social distancing measures were taken into account in determining stock return and volatility. Apart from that, the robustness check for the main findings remains intact in majority of the regression models after incorporating daily COVID-19 death rate, log (daily vaccination) and day-of-the-week effect as additional control variable in alternative.
本文考察了政府的非药物干预对股票市场回报和波动性的影响。使用 2020 年 1 月 28 日至 2022 年 5 月 31 日的马来西亚每日股票数据，通过自举技术的回归分析表明，政府通过严格指数应对致命病毒的反应对股票市场回报和波动性都产生了积极的直接影响，对股票市场回报产生了间接的负向影响。研究表明，国际旅行限制和取消公共活动是导致马来西亚股票市场指数波动性增长的主要因素。一方面，当考虑到确定股票回报和波动性的个别社会距离措施时，不同行业可能会出现异质影响。除此之外，在将每日 COVID-19 死亡率、每日接种量（log）和星期几效应作为额外控制变量纳入替代模型后，大多数回归模型的主要发现的稳健性检验仍然成立。
