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

Richard Mawulawoe Ahadzie (), Dan Daugaard (), Moses Kangogo (), Faisal Khan () and Joaquin Vespignani
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Richard Mawulawoe Ahadzie: Tasmanian School of Business & Economics, University of Tasmania, https://discover.utas.edu.au/RichardMawulawoe.Ahadzie
Dan Daugaard: Tasmanian School of Business & Economics, University of Tasmania, https://discover.utas.edu.au/Dan.Daugaard
Moses Kangogo: Tasmanian School of Business & Economics, University of Tasmania, https://discover.utas.edu.au/Moses.Kangogo
Faisal Khan: Tasmanian School of Business & Economics, University of Tasmania, https://discover.utas.edu.au/F.Khan

No 2023-03, Working Papers from University of Tasmania, Tasmanian School of Business and Economics

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: 25 pages
Date: 2023
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Published by the University of Tasmania. Discussion paper 2023-03

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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)
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