  Assessing the trend of the COVID-19 pandemic and policy effectiveness is
essential for both policymakers and stock investors, but challenging because
the crisis has unfolded with extreme speed and the previous index was not
suitable for measuring policy effectiveness for COVID-19. This paper builds an
index of policy effectiveness on fighting COVID-19 pandemic, whose building
method is similar to the index of Policy Uncertainty, based on province-level
paper documents released in China from Jan.1st to Apr.16th of 2020. This paper
also studies the relationships among COVID-19 daily confirmed cases, stock
market volatility, and document-based policy effectiveness in China. This paper
uses the DCC-GARCH model to fit conditional covariance's change rule of
multi-series. This paper finally tests four hypotheses, about the time-space
difference of policy effectiveness and its overflow effect both on the COVID-19
pandemic and stock market. Through the inner interaction of this triad
structure, we can bring forward more specific and scientific suggestions to
maintain stability in the stock market at such exceptional times.
