How did the US and UK markets react to the COVID-19 vaccines’ announcements? A preliminary assessment

Abstract

Background: The COVID-19 pandemic has caused major public health and economic disruption. At the same time, a pandemic allows researchers to assess market efficiency; namely, whether, to what extent, and how swiftly stock markets incorporated information related to COVID-19. Soon after the outbreak of the pandemic, research on this front was conducted, with a particular focus on the United States of America (US) market. However, new major events linked to the pandemic have unfolded: a number of vaccines were announced and authorized. The research available in relation to market efficiency relative to vaccine availability is scant. The aim of this study was to assess market efficiency hypotheses with regards to the US and United Kingdom (UK) markets, investigating the impact of the promising news of the vaccines’ successful trials and, subsequently, their authorization. Methods: This work considered data from the S&P500 for the US market and the FTSE100 for the UK market. The time interval considered ranged from the date positive results of vaccines’ trials were first announced, 18 November 2020, until up to two months after the vaccines’ authorization that happened later in December 2020. For both markets, we analyzed the daily returns, cumulative returns, standard deviation and average returns. Results: In both the US and the UK, there was a positive effect of the vaccines’ announcements in terms of increase in the daily returns. However, the standard deviation was not found to increase substantially, notwithstanding the increase in the COVID-19 cases worldwide and the potential lockdown in several countries, as well as the fear from new coronavirus strains that the new vaccines might not be protect against. Conclusions: Whilst both markets displayed an increase in the average return following the vaccines’ announcements, the UK market seemed to reflect vaccines’ announcements faster than the US market.

The response of gold to the COVID-19 pandemic

“…Although we have explored the response of gold to the confirmed cases and deaths from COVID-19, several issues remain unaddressed. The announcement and authorization of COVID-19 vaccines in many countries have had positive effects on stock markets (Abushosheh et al , 2022; Apergis et al , 2022). Further investigation is required to explore the extent to which the rollout of vaccines influences gold prices during the pandemic.…”

“…Chatjuthamard et al (2021) demonstrate that there is a positive correlation between the number of COVID-19 cases and stock market volatility. Regarding the impact of vaccine, Abushosheh et al (2022) find that the news of COVID-19 vaccines positively influenced US and UK markets. Gurrib et al (2022) study the impact of the COVID-19 vaccination rollout on high-frequency returns in US sector exchange-traded funds.…”

Performance of Equity Investments in Sustainable Environmental Markets

“…An optimized moving average crossover strategy over the SPDR S&P 500 ETF suggested that the trend-following strategy outperform a buy-and-hold strategy [37]. To capture inherent volatility, various measures have been used in the existing literature on investment strategies including standard deviation and ATR [38][39][40][41][42]. For the purpose of this study, the latter one is used, due to its ability to capture volatility from gap moves.…”