Based on the supply of stock market returns hypothesis, we argue that the unprecedented adverse shock of COVID-19 on the countries’ economic growth translates into a negative shock to the stock markets. According to the institutional theory, we also argue that the impact of COVID-19 in emerging countries is different from developed countries. Based on the overreaction hypothesis, we expect that the market reaction during the stabilizing period of COVID-19 spread is different from the market reaction during the infection period. Using high-frequency daily data across 53 emerging and 23 developed countries from January 14 to August 20, 2020, we find that COVID-19 cases and deaths adversely affect stock returns and increase volatility and trading volume. Cases and deaths affected stock returns and volatility in the emerging markets, while only cases of COVID-19 affected stock returns, volatility, and trading volume in the developed markets. COVID-19 cases and deaths are related to returns, volatility, and trading volume for emerging countries during the rising infection of COVID-19 (pre-April 2020), while cases and mortality rates are related to returns, volatility, and trading volume in developed countries during the stabilizing spread (post-April 2020). Therefore, the emerging markets’ investors seem to react to COVID-19 cases and mortality rates differently from those in the developed markets across two different periods of COVID-19 infection.

基于股市回报供给假说，我们认为COVID-19对各国经济增长的前所未有的不利冲击会转化为对股市的负面冲击。根据制度理论，我们还认为COVID-19对新兴国家的影响与发达国家不同。基于过度反应假设，我们预计COVID-19传播稳定期的市场反应与感染期的市场反应不同。使用 2020 年 1 月 14 日至 8 月 20 日期间 53 个新兴国家和 23 个发达国家的高频每日数据，我们发现 COVID-19 病例和死亡对股票回报产生不利影响，并增加波动性和交易量。病例和死亡影响了新兴市场的股票回报和波动性，而只有 COVID-19 病例影响了发达市场的股票回报、波动性和交易量。在 COVID-19 感染率上升期间（2020 年 4 月之前），新兴国家的 COVID-19 病例和死亡人数与回报、波动性和交易量相关，而新兴国家的病例和死亡率则与新兴国家的回报、波动性和交易量相关。发达国家在稳定蔓延期间（2020 年 4 月后）。因此，在两个不同的 COVID-19 感染时期，新兴市场投资者对 COVID-19 病例和死亡率的反应似乎与发达市场不同。