Abstract
This study examines the impact of the COVID-19 pandemic on G20 stock market returns and assesses its effects on both developed and emerging economies over an extended period. The study utilized daily closing prices and relevant COVID-19-related data from 1 January 2020 to 31 December 2022. A panel data regression analysis was conducted to investigate the effects of COVID-19 case growth, fatalities, and government interventions on stock market returns. The results revealed that growth in COVID-19 confirmed cases has a statistically significant negative impact on stock market returns in developed economies, indicating that an increase in confirmed cases is associated with a decline in stock market returns. Government support aimed at mitigating the impact of COVID-19 has a statistically significant negative effect on the stock market returns of emerging economies, suggesting that economic support announcements are associated with lower stock market returns. This study aims to empower investors to make informed investment choices based on their economic circumstances, thereby reducing potential negative impacts on their investments. It will also enable regulators to implement safeguarding measures to prevent adverse effects if a similar health crisis recurs in the future.