| Summary: | AbstractThe COVID-19 pandemic that broke out in late 2019 ushered in a rare era of global uncertainty that tested the resilience of financial and economic systems. Countries tried to implement stringent public health regulations to stop the virus’s rapid spread, frequently at the expense of economic activity. We contribute to the existing body of knowledge by providing a detailed analysis of the distinct effects of government initiatives during the COVID-19 pandemic on stock market returns. We examine monthly data from February 2020 to December 2022 using the Autoregressive Distributive Lag model, focusing on both short- and long-run patterns and trends. The findings show that the COVID-19 stringency index has a short-term positive effect on stock market returns and a negative effect in the long-run. Furthermore, the findings show negative correlations between stock market returns and global economic policy uncertainty in the long run and a negative effect in the short-run. The study recommends that investors consider spreading their investments to take advantage of short-term gains during pandemic-related restrictions; listed firms should adapt their business strategies to navigate uncertainties during challenging times and finally, policymakers should enhance communication and transparency in policy decisions to build and maintain investor confidence.
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