Vaccine Initiation Rate and Volatility in the International Stock Market during COVID-19

To, Cong Nguyen; Бао,; Nguyen, Khac Quoc; Nguyen, Van Thien; Tâm,; Nguyen, Thi Minh Trang; Phuong,

doi:10.2139/ssrn.3945810

Cited by 8 publications

(3 citation statements)

References 26 publications

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“…Our findings align with previous studies that document the stabilizing effect of mass vaccination on financial markets. For example, Rouatbi et al (2021) andCong Nguyen To et al (2021) show a negative impact of vaccination on the international stock market volatility. Demir et al (2021) also provide supporting evidence on the negative effect of immunization on the stock return volatility of global travel and leisure companies.…”

Section: Resultsmentioning

confidence: 99%

COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets

Demir

Kizys

Rouatbi

et al. 2021

JRFM

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The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore stability within this sector? To answer this question, we investigate stock market data from fifty-eight countries from January 2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the world. The drop in volatility is statistically and economically significant and robust to many considerations. The observed phenomenon survives a broad battery of control variables; it is also independent of the employed regression model or the volatility measurement approach. Moreover, the effect is not driven by the dynamics of the pandemic itself or the associated government interventions. Finally, we find the influence of vaccinations on energy stock volatility to be more pronounced in developed markets rather than in emerging ones. Our findings bear clear practical implications: policy makers around the world should consider the essential role of vaccinations in the energy sector.

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Section: Resultsmentioning

confidence: 99%

COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets

Demir

Kizys

Rouatbi

et al. 2021

JRFM

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“…Any crisis, from either an economic perspective or a medical one, does increase uncertainty across all markets, leading to a cautious response by investors and thereby limiting investment in risky assets, negatively affecting the financial markets in general. Results retrieved from various recent studies prove that the COVID-19 pandemic has increased the volatility of the financial market (Cong Nguyen To et al 2021;Demir et al 2021;Ozili and Arun 2020;Uddin et al 2021;Yu et al 2021). Other studies related to COVID-19 illustrate the increase in uncertainty in all markets and economies during the pandemic period (Liu et al 2020;Salisu and Adediran 2020;Sharma 2020).…”

Section: Introductionmentioning

confidence: 93%

Responses of the International Bond Markets to COVID-19 Containment Measures

Nguyen

et al. 2022

JRFM

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Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market volatility, while non-pharmaceutical government interventions resembling bad news increase volatility in bond markets. Besides this, changes in total COVID-19 cases and total deaths have co-movement and a significant relationship with this volatility. Our results imply that the investors’ responses to the trigger of increased uncertainty seem to differ in a way that depends on bad or good news as a reflection of the possibility of pandemic control and the health of the economy. The mass vaccinations not only signal a lower probability of stringent government responses to the pandemic but also stabilize investors’ behavior and mitigate compliance fears to open a period of safe living with coronavirus. Our findings are still robust when using alternative measures of independent variables and different forecasting models of conditional volatility.

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“…Interestingly both [15,27] find that the stabilizing effect of vaccination on volatility is more pronounced in developed markets than in emerging ones. [28] study the role of the vaccine initiation rate in mitigating the stock market volatility on a global scale. They highlight the positive effect of the vaccine initiation rate in stabilizing the international stock markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Winners and losers from Pfizer and Biontech’s vaccine announcement: Evidence from S&P 500 (Sub)sector indices

2022

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This study explores how the US stock market reacted to the news of a successful development of vaccine by Pfizer and Biontech on November 9, 2020. In particular, the study analyses the effect of the vaccine announcement on 11 sector indices and 79 subsector indices. A key contribution of the present study is to provide a deeper subsector level of analysis lacking in existing literature. An event study approach is applied in identifying abnormal returns due to the November 9th vaccine announcement. Several event periods (-1, 0, 1, 2, 3, 0-1, 0-3) are analysed to provide a more complete picture of the effects. Based on analysis, it is established that there are considerable inter and intra sectoral variations in the impact of the vaccine news. The results show that the impact follows a clear pattern. The sectors that were hit hardest by the pandemic such as energy, financials, as well as subsectors like hotels and casinos, benefited the most from positive vaccine news. Subsectors that gained from the pandemic such as airfreight, household appliances and computers and electronics retail were depressed the most by the news. These findings suggest that while the availability of vaccines is expected to help steer economies gradually to normalcy, the re-adjustment is likely to be asymmetric across subsectors. While some subsectors expect to expand as these industries recover from the contraction inflicted by the COVID-19 environment, other subsectors expect adjustment losses as these industries shed off the above average gains driven by the COVID-19 environment.

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Vaccine Initiation Rate and Volatility in the International Stock Market during COVID-19

Cited by 8 publications

References 26 publications

COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets

COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets

Responses of the International Bond Markets to COVID-19 Containment Measures

Winners and losers from Pfizer and Biontech’s vaccine announcement: Evidence from S&P 500 (Sub)sector indices

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