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

Immunizing markets against the pandemic:: COVID–19 vaccinations and stock volatility around the world
Immunizing markets against the pandemic:: COVID–19 vaccinations and stock volatility around the world
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.
COVID-19 pandemic, novel coronavirus, stock market volatility, vaccinations
1057-5219
Rouatbi, Wael
9c63195f-3ec5-4051-a66c-d218e3e99af5
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6
Rouatbi, Wael
9c63195f-3ec5-4051-a66c-d218e3e99af5
Demir, Ender
788d39be-2118-4b68-aedb-80b31749d2f2
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Zaremba, Adam
30534111-ed33-47e9-bb18-2163d304eca6

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_Manuscript_2021_06_22 - Accepted Manuscript
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More information

Accepted/In Press date: 22 June 2021
e-pub ahead of print date: 24 June 2021
Keywords: COVID-19 pandemic, novel coronavirus, stock market volatility, vaccinations

Identifiers

Local EPrints ID: 450131
URI: http://eprints.soton.ac.uk/id/eprint/450131
ISSN: 1057-5219
PURE UUID: d98d5ccc-3b5c-48bb-ad65-88cb3e1de547
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 13 Jul 2021 16:30
Last modified: 10 Jan 2022 03:18

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Contributors

Author: Wael Rouatbi
Author: Ender Demir
Author: Renatas Kizys ORCID iD
Author: Adam Zaremba

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