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

Wael Rouatbi; Ender Demir; Renatas Kizys; Adam Zaremba

doi:10.1016/j.irfa.2021.101819

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

Int Rev Financ Anal. 2021 Oct:77:101819. doi: 10.1016/j.irfa.2021.101819. Epub 2021 Jun 24.

Authors

Wael Rouatbi^{1

2}, Ender Demir^{3

4}, Renatas Kizys⁵, Adam Zaremba^{1

2

6}

Affiliations

¹ Montpellier Business School, 2300 Avenue des Moulins, 34185 Montpellier Cedex 4, France.
² University of Montpellier, Montpellier Research in Management, Montpellier, France.
³ Istanbul Medeniyet University, Dumlupınar D100 Karayolu No:98, 34720 Kadıköy/İstanbul, Turkey.
⁴ University of Social Sciences, Lodz, Poland.
⁵ Department of Banking and Finance, Southampton Business School, University of Southampton, Room 1013, Building 4, Highfield Campus, Southampton SO17 1BJ, United Kingdom.
⁶ Poznan University of Economics and Business, Institute of Finance, Department of Investment and Financial Markets, Al. Niepodległości 10, 61-875 Poznań, Poland.

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 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.

Keywords: COVID-19 pandemic; Novel coronavirus; Stock market volatility; Vaccinations.