Immunizing markets against the pandemic:: COVID–19 vaccinations and stock volatility around the world

Rouatbi, Wael, Demir, Ender, Kizys, Renatas and Zaremba, Adam (2021) Immunizing markets against the pandemic:: COVID–19 vaccinations and stock volatility around the world. International Review of Financial Analysis, 77 (October 2021), [101819]. (doi:10.1016/j.irfa.2021.101819).

Record type: Article

Abstract

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 pro-vide 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.

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Accepted/In Press date: 22 June 2021

e-pub ahead of print date: 24 June 2021

Published date: October 2021

Additional Information: Funding Information: Adam Zaremba acknowledges the support of the National Science Centre of Poland [grant no. 2016/23/B/HS4/00731 . Ender Demir acknowledges the financial support of the Spanish Ministry of Science and Innovation (grant PID2020-114797GB-I00 ). Publisher Copyright: © 2021 Elsevier Inc.

Keywords: COVID-19 pandemic, novel coronavirus, stock market volatility, vaccinations