COVID-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study

Richard Mawulawoea Ahadzie, Dan Daugaard, Moses Kangogo, Faisal Khan and Joaquin Vespignani

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: 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
Date: 2023-08
New Economics Papers: this item is included in nep-fmk and nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
https://cama.crawford.anu.edu.au/sites/default/fil ... _khan_vespignani.pdf

Related works:
Journal Article: COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study (2024)
Working Paper: Covid-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study (2023)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2023-40

Access Statistics for this paper

More papers in CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Contact information at EDIRC.
Bibliographic data for series maintained by Cama Admin ().