Table 4.

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⁎⁎
	(0.012)	(0.009)	(0.032)
Stringency index		−0.001⁎⁎⁎	−0.001⁎⁎
		(0.007)	(0.011)
Containment and health index		0.001⁎⁎⁎	0.001⁎⁎⁎
		(0.002)	(0.004)
Economic support index		0.000	0.000
		(0.235)	(0.172)
Growth in confirmed cases $\times$ Stringency index			0.001⁎
			(0.081)
Growth in confirmed cases $\times$ Containment and health index			−0.000
			(0.399)
Growth in confirmed cases $\times$ Economic support index			−0.000
			(0.315)
Log (GDP)	0.000	0.000	0.000
	(0.406)	(0.345)	(0.344)
Investment freedom	−0.000	−0.000	−0.000
	(0.648)	(0.667)	(0.680)
Democratic accountability	0.000	0.000	0.000
	(0.823)	(0.817)	(0.823)
Uncertainty avoidance	−0.000	−0.000	−0.000
	(0.671)	(0.611)	(0.629)
Daily fixed-effects dummies	Yes	Yes	Yes
Constant	−0.010	−0.011	−0.011
	(0.331)	(0.284)	(0.282)
Observations	2,372	2,372	2,372
R-squared	0.526	0.527	0.527

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. Log (GDP) is measured as the log of gross domestic product of a country. Investment freedom represents financial market liberalization where higher values represent more freedom for foreign investors to invest in local financial markets and vice versa. Democratic accountability index measures political institutions where higher values represent democratic political institutions while lower values stand for autocratic institutions. Uncertainty avoidance measures cultural uncertainty aversion where higher values show the individuals are more uncertainty averse and vice versa. 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.