  This paper investigates the relationship between the spread of the COVID-19
pandemic, the state of the real economy, and the financial index performance
across 20 countries. First, we analyse which countries behaved similarly in
2020 with respect to one of three multivariate time series: daily COVID-19
cases, community mobility data and national equity index price. Next, we study
the trajectories of all three of these attributes in conjunction to determine
which attributes exhibited greater similarity. Finally, we investigate whether
financial or real economies responded quicker to surges in COVID-19 cases. Our
results indicate that mobility data and financial indices exhibited the most
similarity in their trajectories, with financial markets responding quicker.
This suggests that financial market participants interpreted and responded to
COVID-19 data more efficiently than governments. Thus, we suggest that efforts
to study economic data as a leading indicator for financial market performance
during the pandemic were misguided.
