Response of Stock Market Volatility to COVID-19 Announcements and Stringency Measures: A Comparison of Developed and Emerging Markets

Posted: 2 Aug 2021 Last revised: 15 Feb 2022

See all articles by Walid Bakry

Walid Bakry

Western Sydney University

Peter John Kavalmthara

University of New South Wales (UNSW)

Vivienne Saverimuttu

Western Sydney University

Yiyang Liu

Western Sydney University

Sajan Cyril

Australian Institute of Higher Education

Date Written: July 20, 2021

Abstract

We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We categorize stock markets into emerging and developed markets and consider differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these markets with respect to investors’ interpretation of risk in response to daily new confirmed cases, death rates, recovery rates, and different defensive government interventions. We suggest explanations for these differences, in terms of national culture, and the quality of governance. Moreover, the development of Pfizer-BioNTech's vaccine is of immense importance to both markets. The findings have implications for tailoring government responses to crises in country-specific contexts.

The paper is freely available for the next 50 days@ https://authors.elsevier.com/a/1dT8j_Z7jEtlG3

Keywords: COVID-19 announcements, stock market volatility, GJR-GARCH, emerging markets, developed markets

JEL Classification: G01, G10, G12, G15, G18, H12, I18

Suggested Citation

Bakry, Walid and Kavalmthara, Peter John and Saverimuttu, Vivienne and Liu, Yiyang and Cyril, Sajan, Response of Stock Market Volatility to COVID-19 Announcements and Stringency Measures: A Comparison of Developed and Emerging Markets (July 20, 2021). Forthcoming, Finance Research Letters,102350.https://doi.org/10.1016/j.frl.2021.102350., Available at SSRN: https://ssrn.com/abstract=3890468

Walid Bakry (Contact Author)

Western Sydney University ( email )

Sydney
1 Parramatta Square, 169 Macquarie Street, Parrama
Sydney, 2751
Australia
2 9685 9372 (Phone)

Peter John Kavalmthara

University of New South Wales (UNSW)

Kensington
High St
Sydney, NSW 2052
Australia

Vivienne Saverimuttu

Western Sydney University

PO Box 10
Kingswood, NSW 2747
Australia

Yiyang Liu

Western Sydney University

PO Box 10
Kingswood, NSW 2747
Australia

Sajan Cyril

Australian Institute of Higher Education

Australia

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Abstract Views
205
PlumX Metrics