For example, the US stock market had even experienced a record four meltdowns in 10 days, ending the 11 years of US bull markets occurring since 2009. On the one hand, the outbreak of the COVID-19 pandemic has accelerated the spread of pessimism among global investors and contributed to the herding effect, resulting in successive stock market declines and a vicious circle on the other hand, the isolation policy brought by the pandemic has impacted on the economy from both consumption and output, which affected the trend and expectation of the stock market and imposed a serious negative effect on the stock market returns. The stock markets have especially bore the brunt of the pandemic. The outbreak of this pandemic is characterized by uncertainty and repetition, which has caused immeasurable losses to the global macro economy, and the global capital market has fluctuated violently. The COVID-19 pandemic broke out in Wuhan in December 2019 and spread rapidly across the world in 2 months, sweeping over 190 countries and regions. Thus, governments should make greater efforts to improve the compulsion and effectiveness of epidemic prevention policies and strengthen their control over exchange rate fluctuations to alleviate the negative impact of the COVID-19 pandemic on the stock markets. In addition, over time, the duration of the negative impact of the COVID-19 pandemic on the stock returns became shorter, and the recovery rate of the impact became faster (iv) under the managed floating exchange rate regime, the stock returns changed synchronously with the pressures of exchange rate appreciation and depreciation, and under the free-floating exchange rate regime, the effect of the exchange rate on stock returns was almost zero, while the impact of exchange rate channels in eurozone countries was related to the characteristics of national economies. Our results imply that (i) the spread of the COVID-19 pandemic has a significant negative impact on stock returns, but the impact decreases as the time window increases (ii) the timeliness, compulsoriness, and effectiveness of anti-epidemic policies implemented by governments are the important adjustment factors for stock returns (iii) the impact of the early stage of the COVID-19 pandemic on the stock market trend gradually weakens as the intermediate time interval increases. Hence, we investigated the time-varying impact of the COVID-19 pandemic on stock returns during the period from Januto Decemusing the TVP-VAR-SV model and used G7 countries as our research sample. The COVID-19 pandemic has profoundly and negatively impacted the global stock markets. 2School of Finance, Shandong University of Finance and Economics, Jinan, China.1School of Finance, Zhongnan University of Economics and Law, Wuhan, China.Xiaoyu Tan 1 *, Shiqun Ma 2, Xuetong Wang 2, Yang Zhao 2, Zhimeng Wang 2 and Lijin Xiang 2
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