COVID-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study
Richard Mawulawoea Ahadzie,
Faisal Khan and
CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
This study investigates the impact of COVID-19 infections and mobility restriction policies on stock market volatility. We estimate panel data models for seven countries using daily data from February 12, 2020 to April 14, 2021. Our results show that the number of new cases of COVID-19 infections and the introduction of mobility restriction policies plays a crucial role in shaping stock market volatility during the pandemic. We found that new cases of COVID-19 infections and mobility restrictions policies increase stock market jumps, rather than increase continuous volatility. We also find that mobility restriction policies lessen the impact of new COVID-19 cases on stock market volatility.
Keywords: Stock Market Volatility; New Cases of COVID-19 Infections; Mobility Restriction Policies (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Pages: 27 pages
New Economics Papers: this item is included in nep-fmk and nep-rmg
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https://cama.crawford.anu.edu.au/sites/default/fil ... _khan_vespignani.pdf
Working Paper: Covid-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2023-40
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