The effect of COVID-19 vaccine on the international financial markets

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-04 DOI:10.1016/j.frl.2024.106390

Yunsheng Ma , Jiaying Wang

引用次数: 0

Abstract

Existing studies on the COVID-19 pandemic and vaccine development have primarily focused on national stock markets, with limited attention to international financial markets. This paper constructs a news-based index to measure public sentiment regarding the progress of COVID-19 vaccine development during the first year of the outbreak and examines its impact on international financial markets. We find that positive vaccine development sentiment decreases the CBOE Volatility Index (VIX) while boosting capital inflows and currency appreciation in emerging markets, as vaccine development leads to a greater reduction in public expectations of future risk in these markets. It also lowers the unit price of risk in the context of carry trade risk premiums, as favorable developments reduce expected future economic uncertainty.

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COVID-19 疫苗对国际金融市场的影响

现有关于 COVID-19 大流行和疫苗研发的研究主要集中在国内股票市场，对国际金融市场的关注有限。本文构建了一个基于新闻的指数来衡量公众对 COVID-19 疫苗研发在疫情爆发第一年的进展情况的情绪，并研究其对国际金融市场的影响。我们发现，疫苗研发的积极情绪降低了 CBOE 波动指数（VIX），同时促进了新兴市场的资本流入和货币升值，因为疫苗研发导致这些市场的公众对未来风险的预期进一步降低。在套利交易风险溢价的背景下，它还降低了风险的单位价格，因为有利的发展降低了预期的未来经济不确定性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance