Immunizing Markets against the Pandemic: COVID–19 Vaccinations and Stock Volatility around the World

The COVID-19 pandemic has exerted a remarkable impact on stock market volatility around the globe. Can vaccination programs revert these adverse effects? To answer this question, we scrutinize daily data from 66 countries from January 1st, 2020, to February 18th, 2021. We provide convincing evidence that the vaccination helps to stabilize the global equity markets. The drop in volatility is robust to many considerations and does not depend on the pandemic itself or the government policy responses. The impact of vaccinations is relatively stronger in developed than in emerging markets.