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

Vol: 
40/2023
Author name: 
Ahadzie RM
Daugaard D
Kangogo M
Khan F
Vespignani J
Year: 
2023
Month: 
August
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.

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