COVID-19, Mobility Restriction Policies and Stock Market Volatility: A Cross-Country Empirical Study
Version 2 2025-02-16, 23:52
Version 1 2023-08-23, 04:52
preprint
posted on 2025-02-16, 23:52 authored by Richard Mawulawoe AhadzieRichard Mawulawoe Ahadzie, Daniel DaugaardDaniel Daugaard, Moses KangogoMoses Kangogo, Faisal KhanFaisal Khan, Joaquin VespignaniJoaquin VespignaniThis study investigates the impact of Covid-19 infections and mobility restriction policies on stock
market volatility. We estimate panel data models for seven countries using daily data from
February 12, 2020 to April 14, 2021. Our results show that the number of new cases of Covid-19
infections and the introduction of mobility restriction policies plays a crucial role in shaping stock
market volatility during the pandemic. We found that new cases of Covid-19 infections and
mobility restrictions policies increase stock market jumps, rather than increase continuous
volatility. We also find that mobility restriction policies lessen the impact of new Covid-19 cases
on stock market volatility.
