Purpose

This paper aims to investigate the moderating role of government policy interventions amid the early spread of novel coronavirus (COVID-19) (January–May 2020) on the investor sentiment and stock returns relationship.

Design/methodology/approach

This paper uses panel data from a sample of 53 countries to examine the impact of investor sentiment, measured by the financial and economic attitudes revealed by the search (FEARS) index (Da et al., 2015) on the stock return.

Findings

The moderating role of government policy response indices with the FEARS index on the global stock returns is further explored. This paper finds that government policy responses have a moderating role in the sentiment and stock returns relationship. The effect holds true even when countries are split based on five classifications, i.e. cultural distance, health standard, government effectiveness, social well-being and financial development. The results are robust to an alternative measure of pandemic search intensity, quantile regression and two measures of stock market activity, i.e. conditional volatility and exchange traded fund returns.

Research limitations/implications

The sample period of this study encompasses the early spread phase (January–May 2020) of the novel COVID-19 spread.

Originality/value

This paper provides some early evidence on whether the government policy interventions are helpful to mitigate the impact of investor sentiment on the stock market. The paper also helps to shed better insights on the role of different country characteristics for the sentiment and stock return relationship.

中文翻译：

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投资者情绪和政府政策干预：来自 COVID-19 传播的证据

目的

本文旨在研究政府政策干预在新型冠状病毒 (COVID-19) 早期传播（2020 年 1 月至 2020 年 5 月）对投资者情绪和股票收益关系的调节作用。

设计/方法/方法

本文使用来自 53 个国家的样本的面板数据来检验投资者情绪的影响，通过搜索 (FEARS) 指数 (Da et al. , 2015) 揭示的金融和经济态度对股票收益的影响来衡量。

发现

进一步探讨了政府政策反应指数与 FEARS 指数对全球股票收益的调节作用。本文发现政府政策反应在情绪和股票收益关系中具有调节作用。即使根据文化距离、健康标准、政府效率、社会福利和金融发展等五种分类来划分国家，这种效果仍然存在。对于流行病搜索强度的替代度量、分位数回归和股票市场活动的两个度量，即条件波动率和交易所交易基金回报，结果是稳健的。

研究限制/影响

本研究的样本期包括新型 COVID-19 传播的早期传播阶段（2020 年 1 月至 5 月）。

原创性/价值

本文为政府政策干预是否有助于减轻投资者情绪对股市的影响提供了一些早期证据。本文还有助于更好地了解不同国家特征对情绪和股票收益关系的作用。