From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions
From COVID-19 herd immunity to investor herding in international stock markets: The role of government and regulatory restrictions
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DOI：
10.1016/j.irfa.2021.101663
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发表时间：
2021-01-12
影响因子：
8.2
通讯作者：
Donadelli M
中科院分区：
文献类型：
--
作者：
Kizys R;Tzouvanas P;Donadelli M
我们研究政府对新型冠状病毒COVID-19大流行的反应是否可以缓解国际股票市场上的投资者羊群行为。我们的实证分析基于2020年第一季度72个发达国家和新兴经济体的每日股市数据。政府对COVID-19疫情的反应是通过牛津COVID-19政府反应追踪器来衡量的，得分越高，反应越严格。主要有三个发现。首先，结果显示国际股票市场存在投资者羊群效应。其次，我们证明牛津政府反应严格指数通过减少多维不确定性来减轻投资者的羊群行为。第三，欧盟（eu）国家和超国家监管机构暂时实施的卖空限制，似乎对羊群行为起到了缓解作用。最后，我们的结果对一系列模型规范具有鲁棒性。
We study if government response to the novel coronavirus COVID-19 pandemic can mitigate investor herding behaviour in international stock markets. Our empirical analysis is informed by daily stock market data from 72 countries from both developed and emerging economies in the first quarter of 2020. The government response to the COVID-19 outbreak is measured by means of the Oxford COVID-19 Government Response Tracker, where higher scores are associated with greater stringency. Three main findings are in order. First, results show evidence of investor herding in international stock markets. Second, we document that the Oxford Government Response Stringency Index mitigates investor herding behaviour, by way of reducing multidimensional uncertainty. Third, short-selling restrictions, temporarily imposed by the national and supranational regulatory authorities of the European Union, appear to exert a mitigating effect on herding. Finally, our results are robust to a range of model specifications.
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