COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective
Xiaoling Yu and
Kaitian Xiao
Finance Research Letters, 2023, vol. 53, issue C
Abstract:
We use the COVID-19 stringency index to investigate the relationship among COVID-19 government restriction policy, COVID-19 vaccination and stock markets. We find that the impact of the change rate of COVID-19 stringency index on stock returns turns from significant in the pre-vaccination period to insignificant in the post-vaccination period. Bad news from COVID-19 restriction policy cause more stock volatilities than good news. The advent of COVID-19 vaccination weakens the linkage of COVID-19 stringency index and stock market, while COVID-19 stringency index only plays a partially mediate role in the correlation between COVID-19 cumulative vaccination rate and stock market performance.
Keywords: COVID-19 government restriction policy; COVID-19 stringency index; Stock market; Good volatility; Bad volatility; COVID-19 vaccination (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000430
DOI: 10.1016/j.frl.2023.103669
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