Table 3.

Impact of government actions amid COVID-19 on stock market returns.

Variables	Stock market returns
	Model (1)	Model (2)	Model (3)
Growth in confirmed cases	−0.003⁎⁎	−0.003⁎⁎	−0.003⁎
	(0.036)	(0.034)	(0.073)
Stringency index		−0.001⁎⁎	−0.001⁎⁎⁎
		(0.012)	(0.004)
Containment and health index		0.001⁎⁎⁎	0.001⁎⁎⁎
		(0.005)	(0.003)
Economic support index		0.000	0.000
		(0.282)	(0.233)
Growth in confirmed cases $\times$ Stringency index			0.001⁎
			(0.070)
Growth in confirmed cases $\times$ Containment and health index			−0.000
			(0.250)
Growth in confirmed cases $\times$ Economic support index			−0.000
			(0.530)
Country fixed-effects dummies	Yes	Yes	Yes
Daily fixed-effects dummies	Yes	Yes	Yes
Constant	−0.002	−0.002	−0.002
	(0.865)	(0.815)	(0.845)
Observations	2,750	2,750	2,750
R-squared	0.478	0.479	0.480

This table reports the results regarding the impact of government actions to control COVID-19 pandemic on stock market returns. Stock market returns is dependent variable in all models and is measured as the daily change in major stock index of a country. Growth in confirmed cases is measured as the daily growth in COVID-19 confirmed cases in a country. Stringency index represents the announcements regarding government social distancing measures, such as closure of schools, work places and public places, and restrictions on internal and international travel. Containment and health index represents the announcements regarding government policies such as public awareness campaigns, testing policy and contact tracing. Economic support index represents the announcements regarding government income support and debt/contract relief for households programs. Panel pooled ordinary least squares model, with heteroskedasticity robust standard errors, is used for estimations. $P$-values are given in parenthesis.

^***Represent statistical significance at 1% levels.

^**Represent statistical significance at 5% levels.

^*Represent statistical significance at 10% levels.