Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world
Ender Demir (),
Renatas Kizys and
Adam Zaremba ()
International Review of Financial Analysis, 2021, vol. 77, issue C
The COVID-19 pandemic has exerted a noteworthy impact on stock market volatility around the world. Can vaccination programs revert these adverse effects? To answer this question, we scrutinize daily data from 66 countries from January 1, 2020 to April 30, 2021. We provide convincing evidence that COVID-19 vaccination assists in stabilizing the global equity markets. The drop in volatility is robust to many considerations and does not result solely from either the pandemic itself or the government policy responses—the negative correlation remains significant after controlling for these factors. The impact of vaccinations is relatively stronger within developed markets than in emerging ones.
Keywords: Stock market volatility; COVID-19 pandemic; Novel coronavirus; Vaccinations (search for similar items in EconPapers)
JEL-codes: G01 G12 G15 G18 H12 H51 I18 Q54 (search for similar items in EconPapers)
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