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Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets

Walid Bakry (), Peter John Kavalmthara, Vivienne Saverimuttu, Yiyang Liu and Sajan Cyril

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We categorize stock markets into emerging and developed markets and consider differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these markets with respect to investors’ interpretation of risk in response to daily new confirmed cases, death rates, recovery rates, and different defensive government interventions. We suggest explanations for these differences, in terms of national culture, and the quality of governance. Moreover, the development of Pfizer-BioNTech's vaccine is of immense importance to both markets. The findings have implications for tailoring government responses to crises in country-specific contexts.

Keywords: COVID-19 announcements; Stock market volatility; GJR-GARCH; Emerging markets; Developed markets (search for similar items in EconPapers)
JEL-codes: G01 G10 G12 G15 G18 H12 I18 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s154461232100355x

DOI: 10.1016/j.frl.2021.102350

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