Global Equity Market Volatility during the Initial Stages of the COVID-19 Pandemic: Drivers and Policy Responses
研究了86个国家在疫情前100天中，确诊病例数、增长率及其变化如何显著影响股市波动，并发现更严格的政府应对政策（如封锁、卫生和财政措施）能有效降低波动，即使考虑国家收入水平后依然成立。
The authors investigate the initial impact of the COVID-19 pandemic on global equity market volatility with particular interest on cross-country policy response differences in 86 countries across the globe. They find that reported cases, growth rate of cases, and the change in growth rate of cases significantly drove volatility during the first 100 days of the pandemic. Including policy variables obtained from Oxford COVID-19 Government Response Tracker that measure government responses in terms of containment, closure, health, and fiscal, the authors show that stricter policy responses significantly reduced the impact of the pandemic on stock market volatility in those early days, even after controlling for income levels of the countries in the sample. The authors also analyze the effect of managerial sentiment extracted from earnings call transcripts, and they find that, although managerial sentiment, both negative and uncertainty, partially subsumed the policy responses, their impact on volatility still persisted.