Assessing the Economic Impact of Government Measures in the COVID-19 Pandemic (Evidence from the Iran Capital Market)

The outbreak of COVID-19 pandemic came as a rare, unprecedented event and governments around the globe scrambled with emergency actions including social distancing measures, public awareness programs, testing and quarantining policies, and income support packages. In this paper, using the daily data of 1398's Esfand to 1400' Khordad, we examine the effect of COVID-19 pandemic on stock exchange of Iran. The variables used in this paper are the value of retail transactions, the data of daily COVID-19 confirmed cases, Government Treasury Bills rate and the Equivalent index. The findings indicate a long-run relationship among the variables, and the COVID-19 confirmed cases have positive and significant and Government Treasury Bills rate has the negative and significant effect on Equivalent index. Notably, the value of retail transactions as the proxy for infiltrate index has the positive effect on Equivalent index. Then, three Measurement of government actions entered the model and the results show no Sensitivity to this variables and attributed to short-time period of data. Lastly, all the findings are consistent with the stylized-facts of the stock exchange in that time period.