Immunizing markets against the pandemic: COVID-19 vaccinations and stock volatility around the world

Changing efficiency of BRICS currency markets during the COVID-19 pandemic

“…Thirdly, in differing from Li et al ( 2021 ) who find a negative long-run and short-run relationships between COVID-19 death statistics and Chinese currency returns, our findings indicate that COVID-19 death (recovery) statistics have a positive (negative) co-movement with BRICS currency returns and negative (positive) co-movements are found for Chinese markets only at low-frequency oscillations. Fourthly, in line with Rouatbi et al ( 2021 ), our findings indicate that market efficiency has improved within BRICS currency markets during the immunization period of the pandemic.…”

“…Firstly, we draw from the study of Xu and Lien ( 2021 ) who identified five sub-periods of interest during the pandemic, namely, incubation (27th December 2019–19th January 2020), fever (20th January 2020 –17th March 2020), moderation (18th March 2020–28th April 2020) and normalization (29th April 2020–26th April 2021). Secondly, we draw from the study of Rouatbi et al ( 2021 ) who identify a more recent ‘immunization period’, starting on the 1st January 2021, and find that the increasing number of vaccinated people during this period has contributed towards recent financial market stability. Collectively, our study makes use of rolling window periods corresponding to (i) fever period (3rd February 2020–17th March 2020) (ii) moderation period (18th March 2020–29th April 2020) (iii) normalization period (29th April 2020–26th April 2021) (iv) immunization period (1st January 2021–30th August 2021).…”

“…This, in turn, led to significant distortions in the BRICS currency markets requiring Central Banks to make direct and indirect interventions in currency markets. Recent literature further identifies a number of COVID-related events such as the announcements of lockdowns, travel bans, government interventions (Narayan et al, 2021 ; Goodell, 2020 ), the geopolitical oil price war between Saudi Arabia and Russia (Jefferson, 2020 ) as well as the recent rollout of vaccines (Rouatbi et al, 2021 ) which have had significant impacts on global financial markets. Some other literature further finds spillover effects from the stock exchanges and oil markets into currency markets in developing countries (Narayan et al, 2020 ).…”

COVID-19 Pandemic and Romanian Stock Market Volatility: A GARCH Approach

“…Besides, in the next two quarters, volatility had a downward trend, argued by the fact that COVID-19 vaccine findings were declared (Yu et al 2021). In the same vein, Rouatbi et al (2021) reinforced that the launch and expansion of the vaccinations reduce stock market volatility.…”

“…Prior papers were focused on volatility examination for African equity markets (Lo et al 2021;Takyi and Bentum-Ennin 2021;Zoungrana et al 2021), the Australian stock market (Brueckner and Vespignani 2021), BRICS and G7 states (Yu et al 2021), Canada and the US (Xu 2021), the Chinese stock market (Chen et al 2021;Liu et al 2021b;Shahzad et al 2021), seven emerging countries (Hashmi et al 2021), euro area stock markets (Duttilo et al 2021), the Indian financial market (Bora and Basistha 2021), the South Korea stock market (Hoshikawa and Yoshimi 2021), Thailand (Hongsakulvasu et al 2020), the Tunisian sectorial stock market (Fakhfekh et al 2021), the US stock market (Curto and Serrasqueiro 2021;Hong et al 2021), Vietnam and Philippines (Le and Tran 2021), Visegrad Group member states (Czech et al 2020), or several international markets (Al-Najjar et al 2021;Al-Qudah and Houcine 2021;Anser et al 2021;Banerjee 2021;Chowdhury et al 2021;Contessi and Pace 2021;Engelhardt et al 2021;Höhler and Lansink 2021;Rouatbi et al 2021;Szczygielski et al 2021b;Topcu and Gulal 2020;Vera-Valdés 2021;Youssef et al 2021;Zhang et al 2020). This paper aims to examine the volatility throughout the Romanian financial market during the COVID-19 pandemic.…”