Immunizing Markets against the Pandemic: COVID–19 Vaccinations and Stock Volatility around the World

29 Pages Posted: 30 Mar 2021 Last revised: 1 Apr 2021

See all articles by Wael Rouatbi

Wael Rouatbi

Montpellier Business School

Ender Demir

Istanbul Medeniyet University

Renatas Kizys

University of Southampton, Southampton Business School, Department of Banking and Finance

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business

Date Written: March 29, 2021

Abstract

The COVID-19 pandemic has exerted a remarkable impact on stock market volatility around the globe. Can vaccination programs revert these adverse effects? To answer this question, we scrutinize daily data from 66 countries from January 1st, 2020, to February 18th, 2021. We provide convincing evidence that the vaccination helps to stabilize the global equity markets. The drop in volatility is robust to many considerations and does not depend on the pandemic itself or the government policy responses. The impact of vaccinations is relatively stronger in developed than in emerging markets.

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

JEL Classification: G01, G12, G15, G18, H12, H51, I18, Q54

Suggested Citation

Rouatbi, Wael and Demir, Ender and Kizys, Renatas and Zaremba, Adam, Immunizing Markets against the Pandemic: COVID–19 Vaccinations and Stock Volatility around the World (March 29, 2021). Available at SSRN: https://ssrn.com/abstract=3815000 or http://dx.doi.org/10.2139/ssrn.3815000

Wael Rouatbi

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, 34080
France

Ender Demir

Istanbul Medeniyet University ( email )

D-100 Karayolu
Merdivenkoy Mevkii No:6/1 Goztepe/Kadıkoy
Istanbul
Turkey

Renatas Kizys

University of Southampton, Southampton Business School, Department of Banking and Finance ( email )

Room 1013, Building 4
Highfield Campus
Southampton, SO17 1BJ
United Kingdom
+442380598612 (Phone)

HOME PAGE: http://https://www.southampton.ac.uk/business-school/about/staff/rk1y18.page

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000
France

Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875
Poland

HOME PAGE: http://adamzaremba.pl

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