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COVID-19 pandemic, stock returns, and volatility: the role of the vaccination program in Canada

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  • Nicholas Apergis
  • Ghulam Mustafa
  • Shafaq Malik

Abstract

This paper examines how stock returns and volatility in the Canadian stock market have been affected by both the COVID-19 pandemic and the associated vaccination program. The empirical analysis is based on the generalized autoregressive conditionally heteroskedastic model which explicitly allows the inclusion of information on the COVID-19 pandemic and the vaccination program. The analysis uses daily Canadian equity returns and volatility, spanning the period 27 January 2020, to 31 August 2021. The findings provide evidence that the COVID-19 pandemic exerts a significant negative impact on the mean of Canadian stock returns and a positive impact on their volatility. In contrast, the findings provide novel evidence that the vaccination program in Canada has reversed these detrimental effects.

Suggested Citation

  • Nicholas Apergis & Ghulam Mustafa & Shafaq Malik, 2022. "COVID-19 pandemic, stock returns, and volatility: the role of the vaccination program in Canada," Applied Economics, Taylor & Francis Journals, vol. 54(42), pages 4825-4838, September.
    • Handle: RePEc:taf:applec:v:54:y:2022:i:42:p:4825-4838
    DOI: 10.1080/00036846.2022.2036688
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    Cited by:

    1. Herjuna Qobush Izzahdi & Ani Wilujeng Suryani, 2023. "COVID-19 Vaccination, Government Strict Policy and Capital Market Volatility: Evidence from ASEAN Countries," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 117-135.
    2. Yu, Xiaoling & Xiao, Kaitian, 2023. "COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective," Finance Research Letters, Elsevier, vol. 53(C).
    3. Ling Jin & Jun Hyeok Choi & Saerona Kim & Kwanghee Cho, 2022. "Slack Resources, Corporate Performance, and COVID-19 Pandemic: Evidence from China," IJERPH, MDPI, vol. 19(21), pages 1-21, November.
    4. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi & Omed Rafiq Fatah & Awaz Mohamed Saleem, 2023. "Oil Exports, Political Issues, and Stock Market Nexus," International Journal of Energy Economics and Policy, Econjournals, vol. 13(1), pages 362-373, January.
    5. Zeravan Abdulmuhsen Asaad & Amjad Saber Al-Delawi, 2022. "Iraqi Stock Exchange Reactions to the Oil price, Covid-19 Aftermath, and the Saudi Stock Exchange Movements pre-during Vaccination Program," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 18-30, September.

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