Does more stringencies in government policies during pandemic impact stock returns? Fresh evidence from GREF countries, a new emerging green bloc

Gu, Jianqiang; Yue, Xiao‐Guang; Nosheen, Safia; -ul-Haq, Naveed; Shi, Lei

doi:10.1016/j.resourpol.2022.102582

Cited by 9 publications

(6 citation statements)

References 41 publications

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“…All of that goes hand in hand with the statement (Yang & Deng, 2021) in his research, which mentioned that social distancing policies, which include workplace closures, travel bans, and school closures, will magnify the negative effects of COVID-19 on stock returns, which can be said to be the fourth hypothesis built in this study is proven. Similar results are also shown by (Raifu et al, 2021), (Gu et al, 2022) and (Mishra et al, 2022).…”

Section: Regression Analysis Of the Effect Of Aspects Of The Covid-19...supporting

confidence: 88%

The Influence of Government Information and Response Related to COVID-19 in Indonesia Stock Market

Prayoga,

Kim

2022

J. Keuang. dan Perbank.

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COVID-19 is a global health pandemic that is currently sweeping the world and had huge impact on the world economy. Currently, all countries, including Indonesia, are paying attention to how the development of this pandemic is, as evidenced by the many media that inform the development of the pandemic and the response given by the government in overcoming it. This study was conducted with the aim of investigating how the influence provided by government information and policies related to COVID-19 on returns and stock volatility in Indonesia. Empirical findings from this study show that information on the COVID-19 pandemic (GSVI Covid), the number of positive cases, death rates, and the government tightening index during the pandemic, seem to have a negative effect on stock returns and vice versa have a positive effect on volatility. Meanwhile, with the information on the COVID-19 vaccine (GSVI Vaksin), fiscal policy in the form of growth in government spending, as well as monetary policy in the form of growth in the money supply is said to have a positive influence on stock returns, as well as reduce excessive volatility in the market.

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Section: Regression Analysis Of the Effect Of Aspects Of The Covid-19...supporting

confidence: 88%

The Influence of Government Information and Response Related to COVID-19 in Indonesia Stock Market

Prayoga,

Kim

2022

J. Keuang. dan Perbank.

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“…Hal ini juga dibuktikan dalam beberapa penelitian lainnya seperti Chen et al (2020), Jiang et al (2021), dan Owjimehr & Samadi (2022) yang menemukan bahwa kebijakan pembatasan sosial memiliki efek negatif signifikan pada return saham. Sementara penelitian yang lain menunjukkan adanya pengaruh positif signifikan antara pembatasan sosial dengan return saham (Chang et al, 2021;Wang et al, 2021;Gu J et. al, 2022;Y.H.…”

Section: Pendahuluanunclassified

“…Selanjutnya, intervensi pemerintah berupa pemberian dukungan ekonomi menghasilkan pengembalian pasar yang positif Ashraf (2020). Hal ini juga dibuktikan dalam beberapa penelitian lainnya seperti Gu J et. al (2022), Owjimehr dan Samadi (2022), Wang et al (2021), Jiang et al (2021) yang menemukan bahwa dukungan ekonomi memiliki dampak positif signifikan terhadap return saham.…”

Section: Pendahuluanunclassified

Pengaruh Intervensi Pemerintah dalam Penanganan Covid-19 Terhadap Return Saham

Toyyibah,

Narsa,

Romadhon

2024

WRA

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Purpose – This research aims to obtain empirical evidence regarding the influence of government intervention in handling Covid-19 on stock returns.Design/methodology/approach – This research was conducted on companies listed on the LQ45 index of the Indonesia Stock Exchange for 2020-2021. The total number of observations was 43 companies obtained using the purposive sampling method. This research is quantitative using multiple linear regression analysis techniques. The dependent variable in this research is stock returns. The independent variable used is government intervention consisting of social restriction policies, prevention and health policies, and economic support. Three control variables are also used, namely company size, profitability (ROA), and leverage (DER).Findings – The research results show that social restriction policies and economic support have a positive effect on stock returns, while prevention and health policies have a negative effect on stock returns.Originality/value – This research is initial research that provides evidence of the influence of government intervention in handling Covid-19 on stock returns in Indonesia by utilizing the OxCORT index.Research limitations/implications – The implication of this research is that investors can anticipate increases and decreases in company share prices by considering several indices related to government intervention. The coverage area used is only limited to Indonesia.

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“…Furthermore, as opposed to Aharon and Siev (2021), Ashraf (2020), we assume that stricter measures should result in a lower market volatility and under-pricing. This idea stems from Gu et al (2022) where the authors demonstrate on the stock market that active state measures during crisis should have a positive impact on market efficiency. Thus, we state the following hypothesis: H1.…”

Section: Literature and Hypotheses Developmentmentioning

confidence: 99%

COVID-19: the impact of the pandemic fear on IPO underpricing

Fedorova

Chertsov²,

Kuzmina³

2022

JFRA

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Purpose The purpose of this study is to assess how the information disclosed in prospectuses impacted the initial public offering (IPO) underpricing at a time of high government interference amid the ongoing pandemic. Design/methodology/approach The design of this study has several tracks, namely, a macro-level track, which is represented by the government measures to halt the pandemic; a micro-level track, which is followed by textual analysis of IPO prospectuses; and, finally, a machine learning track, in which the authors use state-of-the-art tools to improve their linear regression model. Findings The authors found that strict government anti-COVID-19 measures indeed contribute to the reduction of the IPO underpricing. Interestingly, the mere fact of such measures taking place is enough to take effect on financial markets, regardless of the resulting efficiency of such measures. At the micro-level, the authors show that prospectus sentiments and their significance differ across prospectus sections. Using linear regression and machine learning models, the authors find robust evidence that such sections as “Risk factors”, “Prospectus summary”, “Financial Information” and “Business” play a crucial role in explaining the underpricing. Their effect is different, namely, it turns out that the more negative “Risk factors” and “Financial Information” sentiment, the higher the resulting underpricing. Conversely, the more positive “Prospectus summary” and “Business” sentiments appear, the lower the resulting underpricing is. In addition, we used machine learning methods. Consisting of more than 580 IPO prospectuses, the study sample required modern and powerful machine learning tools like Isolation Forest for pre-processing or Random Forest Regressor and Light Gradient Boosting Model for modelling purposes, which enabled the authors to gain better results compared to the classic linear regression model. Originality/value At the micro level, this study is not confined to 2020, but also embraces 2021, the year of the record number of IPOs held. Moreover, in this paper, these were prospectuses that served as a source of management sentiment. In addition, the authors used a tailor-made government stringency index. At the micro level, basing the study on behavioural finance hypotheses, the authors conducted both separate and holistic analysis of prospectuses to assess investors’ reaction to different aspects of IPO companies as well as to the characteristics of the IPOs themselves. Lastly, the authors introduced a few innovations to the research methodology. Textual analysis was conducted on a corpus of prospectuses included in a study sample. However, the authors did not use pre-trained dictionaries, but instead opted for FLAIR, a modern open-source framework for natural language processing.

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Does more stringencies in government policies during pandemic impact stock returns? Fresh evidence from GREF countries, a new emerging green bloc

Cited by 9 publications

References 41 publications

The Influence of Government Information and Response Related to COVID-19 in Indonesia Stock Market

The Influence of Government Information and Response Related to COVID-19 in Indonesia Stock Market

Pengaruh Intervensi Pemerintah dalam Penanganan Covid-19 Terhadap Return Saham

COVID-19: the impact of the pandemic fear on IPO underpricing

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