This article aims to study the impact of peg structure on volatility behaviour and crisis vulnerability, considering the COVID-19 economic context. We adopt a comparative analysis of volatility behaviour using GARCH family models and the ICSS Algorithm for the cases of Morocco and Tunisia. Our main finding is that peg characteristics aren't the unique parameters impacting volatility behaviour and the exposition to the crisis. Furthermore, we detect different variations in volatility parameters as a result of the contrasting economic contexts and COVID-19 economic fallouts. Finally, we present some interesting policy implications, and we suggest some leads for future research.

This study investigates the impact of COVID-19 and the policies implemented by the authorities on financial markets during the different waves of the pandemic. We found significant correlations between COVID-19 new cases and the volatility of financial markets in most of the studied samples during the three studied waves. We also found that financial markets in developed countries present a significant positive market vision, and those of emerging economies present mixed results.

This study provides an updated analysis of the impact of COVID-19 daily contaminations and vaccinations on the financial markets by incorporating the third wave observed in 2021. Our methodology is based on a comparative approach using a multivariate hetero­scedasticity model and data from the Eurozone and ten other countries from different economies. Our results show that COVID-19 contaminations and vaccinations strongly affected most of the countries in our sample (except for the UK, Russia and India in the case of COVID-19 contaminations). We also found that optimistic market sentiment concerning the evolution of the pandemic prevailed among the countries forming our sample (except for Switzerland, Russia and India).

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