Abstract:

This study investigates how the panic and risk perception created by countries' announcements of the number of cases and deaths, especially during the COVID-19 epidemic, are reflected in the stock markets. In addition, the impact of the measures taken by countries to reduce the rate of infection in the epidemic on the stock markets was investigated. For this purpose, 10 developed and developing countries in the MSCI index of country stock markets were determined. While death and case numbers were used as COVID-19 announcements, the stringency index calculated by the Oxford COVID-19 Government Response Tracker was used for government restrictions. Data sets were obtained from Refinitiv Datastream and ourworldindata databases. As a result of the analysis, a significant long-term relationship of 1% was detected between the variables used for both developed and developing countries. In addition, while a causal relationship was detected from government restrictions to stock markets in both developed and developing countries, no relationship could be determined from the number of cases. Finally, as a result of the panel data model analysis, only the negative and significant effect of government restrictions was detected on the stock markets of developing countries, while the negative and significant effect of both government restrictions and COVID-19 announcements was detected in developed countries.

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