COVID-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study

CAMA Working Paper 40/2023

27 Pages Posted: 28 Aug 2023

See all articles by Richard Mawulawoe Ahadzie

Richard Mawulawoe Ahadzie

University of Tasmania - Tasmanian School of Business & Economics; University of Tasmania, Tasmanian School of Business and Economics

Dan Daugaard

University of Tasmania

Moses Kangogo

University of Tasmania

Faisal Khan

Tasmanian School of Business and Economics

Joaquin Vespignani

University of Tasmania - School of Economics and Finance; Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

Date Written: August 2023

Abstract

This study investigates the impact of Covid-19 infections and mobility restriction policies on stock market volatility. We estimate panel data models for seven countries using daily data from February 12, 2020 to April 14, 2021. Our results show that the number of new cases of Covid-19 infections and the introduction of mobility restriction policies plays a crucial role in shaping stock market volatility during the pandemic. We found that new cases of Covid-19 infections and mobility restrictions policies increase stock market jumps, rather than increase continuous volatility. We also find that mobility restriction policies lessen the impact of new Covid-19 cases on stock market volatility.

Keywords: Stock Market Volatility, New Cases of Covid-19 Infections, Mobility Restriction Policies

JEL Classification: G10, G11, G12

Suggested Citation

Ahadzie, Richard Mawulawoe and Ahadzie, Richard Mawulawoe and Daugaard, Dan and Kangogo, Moses and Khan, Faisal and Vespignani, Joaquin, COVID-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study (August 2023). CAMA Working Paper 40/2023, Available at SSRN: https://ssrn.com/abstract=4547609 or http://dx.doi.org/10.2139/ssrn.4547609

Richard Mawulawoe Ahadzie

University of Tasmania - Tasmanian School of Business & Economics ( email )

Locked Bag 1317
Launceston, 7250
Australia

University of Tasmania, Tasmanian School of Business and Economics ( email )

Hobart
Australia

Dan Daugaard

University of Tasmania ( email )

Office 108, Level 1, KPMG Building,
100 Melville Street
Hobart, TAS, 7000
Australia
+61362261434 (Phone)

HOME PAGE: http://https://discover.utas.edu.au/dan.daugaard

Moses Kangogo

University of Tasmania

French Street
Sandy Bay
Tasmania, 7250
Australia

Faisal Khan

Tasmanian School of Business and Economics ( email )

French Street
Sandy Bay
Tasmania, 7250
Australia

Joaquin Vespignani (Contact Author)

University of Tasmania - School of Economics and Finance ( email )

Commerce Building,
Sandy Bay Campus
Sandy Bay, TAS, Tasmania 7005
Australia

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA) ( email )

ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
Australia

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