COVID-19 Vaccinations and the Volatility of Energy Companies in International Markets

Government Bonds and COVID-19. An International Evaluation Under Different Market States

This study evaluates the sensitivity of government bond yields from the countries most affected by the COVID-19 pandemic to variations in some international risk factors during the period between January 2020 and April 2021. This sample period allows us to focus the study on the first, and the subsequent waves of the COVID-19 pandemic. Specifically, we propose an extended risk factor model estimated using the quantile regression approach. In addition, this study compares the COVID-19 pandemic period with a pre-pandemic and a post-vaccination period. Interesting differences among them are observed, remarking that gold is the key risk factor during the pandemic, whereas VIX and crude oil play that role in the pre-pandemic and the post-vaccination periods, respectively, mainly for bearish states. As expected, the explanatory power of the model is better at extreme quantiles, showing relevant differences between sensitivities, because the found effects are quantile-, country- and risk factor-dependent. The results during the pandemic are robust to the inclusion of a country-specific factor and a factor accounting for the mutual influence of the government bonds.

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

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.

Does US full vaccination against COVID-19 immunize correspondingly S&P500 index: Evidence from the NARDL approach

This study analyzes the impact of COVID-19 full vaccination shocks on the US stock market in the period January 14, 2021- August 20, 2021. Using the Nonlinear Autoregressive Distributed Lag model, we find that the positive and negative COVID-19 full vaccination growth shocks have a positive and symmetrical impact on the US stock market over the long run. Additionally, the short-run findings provide that the US stock market reacts negatively with delay to the positive and negative COVID-19 full vaccination growth shocks. The study findings provide good insights that COVID-19 full vaccination immunizes accordingly to the S&P 500 index in the long run. The study results indicate that the impact of positive and negative COVID-19 full vaccination growth shocks on the stock market in the short run differs from that in the long run. This research bears important implications: governments should implement preventive measures with vaccination to recover the stock market. Policy makers ought to urge adopting policy measures to reduce panic and boost investor confidence during economic and health crises.

Connectedness of COVID vaccination with economic policy uncertainty, oil, bonds, and sectoral equity markets: evidence from the US

We examine the connectedness of the COVID vaccination with the economic policy uncertainty, oil, bonds, and sectoral equity markets in the US within time and frequency domain. The wavelet-based findings show the positive impact of COVID vaccination on the oil and sector indices over various frequency scales and periods. The vaccination is evidenced to lead the oil and sectoral equity markets. More specifically, we document strong connectedness of vaccinations with communication services, financials, health care, industrials, information technology (IT) and real estate equity sectors. However, weak interactions exist within the vaccination-IT-services and vaccination-utilities pairs. Moreover, the effect of vaccination on the Treasury bond index is negative, whereas the economic policy uncertainty shows an interchanging lead and lag relation with vaccination. It is further observed that the interrelation between vaccination and the corporate bond index is insignificant. Overall, the impact of vaccination on the sectoral equity markets and economic policy uncertainty is higher than on oil and corporate bond prices. The study offers several important implications for investors, government regulators, and policymakers.

When the market got the first dose: Stock volatility and vaccination campaign in COVID-19 period

During the COVID-19 pandemic, the news of clinical trials for vaccines and mass vaccinations have brought renewed optimism for stabilizing the economy and financial markets. However, the mental stress of investors or doubt about the effectiveness of government policies to cope with economic disruptions has caused stock market volatility. We investigate the significance of the vaccination rate in alleviating the global stock market volatility which is measured by the GJR-GARCH model. We discover that a higher vaccine initiation rate has a positive effect on global stock markets, especially in developed countries and areas with higher rates than their average. Our findings remain reliable even when using different projected volatility models and other estimates of the main independent variables. Mass immunization also implies that governments will not have to take extreme measures to handle the pandemic, which alleviates investor worries about compliance and the prolonged effects of COVID-19. Our research indicates that global stock markets are providing insight into the economic value of the development of COVID-19 vaccines, even before public vaccinations start.

Winners and losers from Pfizer and Biontech's vaccine announcement: Evidence from S&P 500 (Sub)sector indices

This study explores how the US stock market reacted to the news of a successful development of vaccine by Pfizer and Biontech on November 9, 2020. In particular, the study analyses the effect of the vaccine announcement on 11 sector indices and 79 subsector indices. A key contribution of the present study is to provide a deeper subsector level of analysis lacking in existing literature. An event study approach is applied in identifying abnormal returns due to the November 9th vaccine announcement. Several event periods (-1, 0, 1, 2, 3, 0-1, 0-3) are analysed to provide a more complete picture of the effects. Based on analysis, it is established that there are considerable inter and intra sectoral variations in the impact of the vaccine news. The results show that the impact follows a clear pattern. The sectors that were hit hardest by the pandemic such as energy, financials, as well as subsectors like hotels and casinos, benefited the most from positive vaccine news. Subsectors that gained from the pandemic such as airfreight, household appliances and computers and electronics retail were depressed the most by the news. These findings suggest that while the availability of vaccines is expected to help steer economies gradually to normalcy, the re-adjustment is likely to be asymmetric across subsectors. While some subsectors expect to expand as these industries recover from the contraction inflicted by the COVID-19 environment, other subsectors expect adjustment losses as these industries shed off the above average gains driven by the COVID-19 environment.

COVID Asymmetric Impact on the Risk Premium of Developed and Emerging Countries’ Stock Markets

We estimated the stock market risk premium during the COVID-19 pandemic with a GARCH-in-Mean (GARCH-M)(1,1) model. The analysis then explored the presence of regime changes using a two-regime Markov-Switching GARCH (MS GARCH)(1,1) model. The sample we used included the stock market indexes of nine countries from three geographical regions, including: North America (Canada, USA, and Mexico), South America (Brazil and Argentina), and Asia (Japan, South Korea, Hong Kong, and Singapore), over two periods: (a) pre-COVID (from 1 January 2015 to 31 December 2019); and (b) COVID (from 1 January 2020 to 31 December 2021). Our GARCH-M(1,1) estimation results indicate that the more developed countries’ stock markets experienced an important increase in their risk premium during the COVID period, likely explained by the massive government anticyclical policies. By contrast, developing countries’ stock markets, particularly in Latin America, experienced a reduction, and in some cases, even a total loss of the risk premium effect. From the perspective of investors and portfolio risk managers, the identification of high and low volatility periods and their estimated probability of occurrence is useful for the characterization of stress scenarios and the design of emerging strategies. For governments and central bankers, the implementation of different policies should respond to the more likely scenarios but should also be prepared to respond to other less likely scenarios. Institutional preparedness to respond to as many different scenarios as may be identified with the use of MS GARCH models can make their interventions more successful. This work presents an objective example of how the use of MS GARCH models may be of use to practitioners in both the financial industry and government. We confirmed that the results of a two-regime MS GARCH model are superior to those obtained from a single-regime model.

Sail Away to a Safe Harbor? COVID-19 Vaccinations and the Volatility of Travel and Leisure Companies

This paper examines the impact of vaccination programs on the stock market volatility of the travel and leisure sector. Using daily data from 56 countries over the period from January 2020 to March 2021, we find that vaccination leads to a decrease in the investment risk of travel and leisure companies. Vaccination results in a decrease in the volatility of stock prices of travel and leisure companies. The drop in volatility is robust to many alternative estimation techniques, different volatility measures, and various proxies for vaccinations. Moreover, this effect cannot be explained by an array of control variables; this includes the pandemic itself and both the containment and closure policies that followed. Furthermore, the beneficial role of vaccinations is relatively stronger in emerging markets than in developed ones.

Responses of the International Bond Markets to COVID-19 Containment Measures

Using an international sample during the COVID-19 outbreak, our study gives evidence that COVID-19 containment measures impact volatility in the international bond markets in different ways. We found that the positive effect of increasing new COVID-19 vaccinations markedly mitigates bond market volatility, while non-pharmaceutical government interventions resembling bad news increase volatility in bond markets. Besides this, changes in total COVID-19 cases and total deaths have co-movement and a significant relationship with this volatility. Our results imply that the investors’ responses to the trigger of increased uncertainty seem to differ in a way that depends on bad or good news as a reflection of the possibility of pandemic control and the health of the economy. The mass vaccinations not only signal a lower probability of stringent government responses to the pandemic but also stabilize investors’ behavior and mitigate compliance fears to open a period of safe living with coronavirus. Our findings are still robust when using alternative measures of independent variables and different forecasting models of conditional volatility.