What caused global stock market meltdown during the COVID pandemic–Lockdown stringency or investor panic?

This paper isolates the different effects of COVID-19 on the stock market returns and identifies the channels through which each of the effects influences the returns. Using a sample of twelve countries with most liquid stock markets, we find that the panic caused by the pandemic affects the stock return negatively through the updation of market risk premium channel. The stringency of the lockdown has a two-way effect on the stock market returns, whereas it affects the return negatively through the updation of growth forecasts, it also affects the return positively through the updation of market risk premium.