The COVID-19 pandemic, policy responses and stock markets in the G20

This paper analyses the impact of Covid-19 pandemic on stock market returns and their volatility in case G20 countries. In contrast to existing empirical literature, which typically focuses only either deaths or lockdown policies, our analysis is based a comprehensive dynamic panel model accounting for effects both epidemiological situation restrictive measures as well fiscal monetary responses; moreover, instead it uses far more sophisticated index Balanced Worth (BW) methodology, also takes into account heterogeneity by providing additional estimates G7 remaining countries (non-G7) separately. We find that markets are affected negatively government restrictions than itself. By contrast, non-G7 variables have negative impact. Further, lockdowns during periods with particularly severe conditions decrease whilst increase ones. Fiscal policy (the latter measured shadow short rate) positive effects, respectively, but not brief, evidence suggests other play important role itself key determinant markets.