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

被引：73

作者：

Rouatbi, Wael ^{[1
,2
]}

Demir, Ender ^{[4
,6
]}

Kizys, Renatas ^{[3
]}

Zaremba, Adam ^{[1
,2
,5
]}

机构：

[1] Montpellier Business Sch, 2300 Ave Moulins, F-34185 Montpellier 4, France

[2] Univ Montpellier, Montpellier Res Management, Montpellier, France

[3] Univ Southampton, Southampton Business Sch, Dept Banking & Finance, Room 1013,Bldg 4,Highfield Campus, Southampton SO17 1BJ, Hants, England

[4] Istanbul Medeniyet Univ, Dumlupinar D100 Karayolu 98, TR-34720 Istanbul, Turkey

[5] Poznan Univ Econ & Business, Inst Finance, Dept Investment & Financial Markets, Al Niepodleglosci 10, PL-61875 Poznan, Poland

[6] Univ Social Sci, Lodz, Poland

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2021年 / 77卷

关键词：

Stock market volatility; COVID-19; pandemic; Novel coronavirus; Vaccinations; PRICES; RETURNS; SENTIMENT; VARIANCE; RISK;

D O I：

10.1016/j.irfa.2021.101819

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 provide 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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