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COVID-19 Government restriction policy, COVID-19 vaccination and stock markets: Evidence from a global perspective

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  • Yu, Xiaoling
  • Xiao, Kaitian

Abstract

We use the COVID-19 stringency index to investigate the relationship among COVID-19 government restriction policy, COVID-19 vaccination and stock markets. We find that the impact of the change rate of COVID-19 stringency index on stock returns turns from significant in the pre-vaccination period to insignificant in the post-vaccination period. Bad news from COVID-19 restriction policy cause more stock volatilities than good news. The advent of COVID-19 vaccination weakens the linkage of COVID-19 stringency index and stock market, while COVID-19 stringency index only plays a partially mediate role in the correlation between COVID-19 cumulative vaccination rate and stock market performance.

Suggested Citation

  • 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).
    • Handle: RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000430
    DOI: 10.1016/j.frl.2023.103669
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    2. Bazzana, Davide & Colturato, Michele & Savona, Roberto, 2023. "Learning about unprecedented events: Agent-based modelling and the stock market impact of COVID-19," Finance Research Letters, Elsevier, vol. 56(C).

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