Table 6.
Stock Market Reactions to Policy Responses – Using Case and Death Numbers.
| Model (1) | Model (2) | |
|---|---|---|
| DV: | Stock Index Return based on Price Index | Stock Index Return based on Price Index |
| Lockdown | −1.238*** | −1.233*** |
| (0.349) | (0.350) | |
| Post Lockdown Period | 0.563* | 0.570* |
| (0.332) | (0.332) | |
| DID_Lockdown | 1.372*** | 1.354*** |
| (0.374) | (0.375) | |
| Interest Rate Cut | −1.867*** | −1.860*** |
| (0.454) | (0.455) | |
| Post Interest Cut Period | −2.579*** | −2.611*** |
| (0.444) | (0.439) | |
| DID_Interest Rate Cut | 1.927*** | 1.944*** |
| (0.455) | (0.455) | |
| Rt-1 | −0.211*** | −0.211*** |
| (0.0256) | (0.0256) | |
| Ln_Case | −0.010 | |
| (0.031) | ||
| Ln_Death | 0.008 | |
| (0.035) | ||
| Stringency | 0.013*** | 0.012** |
| (0.005) | (0.005) | |
| GDP | −0.000 | −0.0000 |
| (0.000) | (0.0000) | |
| HDI | 0.509 | 0.575 |
| (1.489) | (1.476) | |
| Constant | 0.865 | 0.012** |
| (1.366) | (0.005) | |
| Obs | 1458 | 1459 |
| Adj. R-sq | 0.077 | 0.077 |
Notes: This table reports the results of the regression of the stock market index return on policy events and total number of death or total number of cases. Ln_Case represents the natural log of daily coronavirus cases. Ln_Death represents the natural log of daily coronavirus related deaths. Following Baig et al. (2021), we add one to the number of cases, and number of deaths and then take the natural log to avoid excluding zero values. Standard errors in parentheses for differences. *, **, *** denote statistical significance at the 0.1, 0.05, and the 0.01 levels, respectively.