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Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility

This paper examines the impact of non-pharmaceutical intervention by government on stock market return as well as volatility. Using daily Malaysian equity data from January 28, 2020 to May 31, 2022, the regression analysis with bootstrapping technique reveals that the government’s response in combat...

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Main Authors: Racquel Rowland, Ricky Chee Jiun Chia, Venus Khim-Sen Liew
Format: Article
Language:English
English
Published: Plos One 2022
Subjects:
HG4501-6051 Investment, capital formation, speculation
RS192-199 Pharmaceutical technology
Online Access:https://eprints.ums.edu.my/id/eprint/36818/1/ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/36818/2/FULL%20TEXT.pdf
https://eprints.ums.edu.my/id/eprint/36818/
https://doi.org/10.1371/journal.pone.0277252
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spelling my.ums.eprints.368182023-09-19T01:58:24Z https://eprints.ums.edu.my/id/eprint/36818/ Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility Racquel Rowland Ricky Chee Jiun Chia Venus Khim-Sen Liew HG4501-6051 Investment, capital formation, speculation RS192-199 Pharmaceutical technology This paper examines the impact of non-pharmaceutical intervention by government on stock market return as well as volatility. Using daily Malaysian equity data from January 28, 2020 to May 31, 2022, the regression analysis with bootstrapping technique reveals that the government’s response in combating the deadly virus through Stringency index has shown a positive direct effect on both stock market returns and volatility, and indirect negative effect on stock market returns. The study revealed that international travel restriction and cancelling public events are the major contributors to the growth of volatility when estimated for Malaysia stock market index. On the one hand, heterogenous impact is expected from the perspective of different sectors when the individual social distancing measures were taken into account in determining stock return and volatility. Apart from that, the robustness check for the main findings remains intact in majority of the regression models after incorporating daily COVID-19 death rate, log (daily vaccination) and day-of-the-week effect as additional control variable in alternative. Plos One 2022 Article NonPeerReviewed text en https://eprints.ums.edu.my/id/eprint/36818/1/ABSTRACT.pdf text en https://eprints.ums.edu.my/id/eprint/36818/2/FULL%20TEXT.pdf Racquel Rowland and Ricky Chee Jiun Chia and Venus Khim-Sen Liew (2022) Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility. Plos One. pp. 1-21. https://doi.org/10.1371/journal.pone.0277252
institution Universiti Malaysia Sabah
building UMS Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sabah
content_source UMS Institutional Repository
url_provider http://eprints.ums.edu.my/
language English
English
topic HG4501-6051 Investment, capital formation, speculation
RS192-199 Pharmaceutical technology
spellingShingle HG4501-6051 Investment, capital formation, speculation
RS192-199 Pharmaceutical technology
Racquel Rowland
Ricky Chee Jiun Chia
Venus Khim-Sen Liew
Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility
description This paper examines the impact of non-pharmaceutical intervention by government on stock market return as well as volatility. Using daily Malaysian equity data from January 28, 2020 to May 31, 2022, the regression analysis with bootstrapping technique reveals that the government’s response in combating the deadly virus through Stringency index has shown a positive direct effect on both stock market returns and volatility, and indirect negative effect on stock market returns. The study revealed that international travel restriction and cancelling public events are the major contributors to the growth of volatility when estimated for Malaysia stock market index. On the one hand, heterogenous impact is expected from the perspective of different sectors when the individual social distancing measures were taken into account in determining stock return and volatility. Apart from that, the robustness check for the main findings remains intact in majority of the regression models after incorporating daily COVID-19 death rate, log (daily vaccination) and day-of-the-week effect as additional control variable in alternative.
format Article
author Racquel Rowland
Ricky Chee Jiun Chia
Venus Khim-Sen Liew
author_facet Racquel Rowland
Ricky Chee Jiun Chia
Venus Khim-Sen Liew
author_sort Racquel Rowland
title Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility
title_short Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility
title_full Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility
title_fullStr Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility
title_full_unstemmed Do non-pharmaceutical policies in response to COVID-19 affect stock performance? Evidence from Malaysia stock market return and volatility
title_sort do non-pharmaceutical policies in response to covid-19 affect stock performance? evidence from malaysia stock market return and volatility
publisher Plos One
publishDate 2022
url https://eprints.ums.edu.my/id/eprint/36818/1/ABSTRACT.pdf
https://eprints.ums.edu.my/id/eprint/36818/2/FULL%20TEXT.pdf
https://eprints.ums.edu.my/id/eprint/36818/
https://doi.org/10.1371/journal.pone.0277252
_version_ 1778162802043650048
score 13.211869

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