How stock markets respond to government intervention and vaccine news during the COVID-19 pandemic
The COVID-19 pandemic brought upon unprecedented havoc on economies and economies around the world. In this paper we utilise two dimensions of (i) sentiment analysis from vaccine news and (ii) government implementation of stringency policies and economic support polices, and analyse their effects on...
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Format: | Final Year Project |
Language: | English |
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Nanyang Technological University
2021
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Online Access: | https://hdl.handle.net/10356/148337 |
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Institution: | Nanyang Technological University |
Language: | English |
Summary: | The COVID-19 pandemic brought upon unprecedented havoc on economies and economies around the world. In this paper we utilise two dimensions of (i) sentiment analysis from vaccine news and (ii) government implementation of stringency policies and economic support polices, and analyse their effects on stock market return during the COVID-19 pandemic. Using daily data from 11 February to 31 December 2020 from 60 countries with a fixed-effect model, we find that implementation of stringency policies have significant and negative impact on stock market returns while the opposite is true of economic support policies. Sentiment index generated from an aggregation of vaccine news across Reuters, Wall Street Journal and Nikkei displays a positive relationship between sentiments of vaccine news on stock market returns. Our findings have important policy implications, primarily by quantifying specific news sentiment effects on stock market returns and expanding the time frame of current literature regarding COVID-19 government responses on stock market returns. |
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