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This study delves into the impact of formal institutions on stock market volatility within a selection of emerging economies. Specifically, it examines the role that formal institutions play in shaping this volatility. To accomplish our goal, we analyze panel data from 46 emerging nations spanning the years 2000-2019, utilizing system generalized method of moments (GMM), as well as random and fixed effect models for our estimations. The findings of this research validate the existence of a significant association between formal institutions and stock market volatility. Likewise, through dynamic panel estimation, we discover that formal institutions such as property rights, financial freedom, and government regulations have a notable negative effect on stock market volatility. Consequently, this study implies that formal institutions play a crucial role in reducing stock market volatility in emerging economies, fostering their development. The insights gained from this research encourage policymakers to view formal institutions as key influencers of stock market volatility. These results offer valuable guidance for emerging nations.

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In an asymmetric information environment, investors diversify their investments to minimize risk and maximize their wealth. Such diversification ranges from one market to another market and from one country to another country. Investors prefer foreign portfolio investment over foreign direct investment because of the economy's turmoil, changes in macroeconomic indicators, and market liberation. This study analyzes the dynamic relationship among stock market volatility, foreign portfolio investment, and macroeconomic indicators (foreign exchange rate, interest rate, and Gross Domestic Product) using the dynamic long-run Auto-regressive Distributed Lag (ARDL) model concerning the Pakistan environment. This study also considers the impact of multiple structural breaks, representing variables' endogenous and exogenous shocks. The secondary data is used from Oct. 01, 2009, to Sept. 30, 2019, with monthly frequency. The results indicate a co-integration between SMV, FPI, FXR, IR, and GDP. In short-run analyses, the error correction term is statistically significant, while in the long run, the SMV, FPI, and FXR are not impacted. As no evidence of volatility has been found between SMV and FPI, unidirectional or bi-directional policies can be devised to further attract the new FPI for strengthening the foreign reserves, the balance of payments, and other macroeconomic variables. Additionally, investors should update their knowledge based on considering the endogenous and exogenous shocks on the SMV.

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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.

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We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We categorize stock markets into emerging and developed markets and consider differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these markets with respect to investors' interpretation of risk in response to daily new confirmed cases, death rates, recovery rates, and different defensive government interventions. We suggest explanations for these differences, in terms of national culture, and the quality of governance. Moreover, the development of Pfizer-BioNTech's vaccine is of immense importance to both markets. The findings have implications for tailoring government responses to crises in country-specific contexts.

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Economic policy uncertainty generally tends to induce a pessimistic view of future market behaviour. Furthermore, instabilities in global oil prices have serious implications for the economies of oil exporters and importers, due to their over-dependence on crude oil for revenue and production activities, respectively, and thereby on stock market indices. Against limited empirical evidence, this study examines the spillover effects from global economic policy uncertainty (GEPU) and oil price volatility to the volatility of the stock market indices of oil exporters and importers in both developed and emerging economies. The results show that the spillover effect from GEPU to oil exporters is relatively smaller than to oil importers, for both developed and emerging countries. Conversely, the volatility spillovers from oil prices to oil exporters are relatively larger than to oil importers, for both developed and emerging countries. Specifically, the volatility spillovers from oil prices to oil exporters (importers) in emerging countries are relatively stronger compared to oil exporters (importers) in developed countries. The findings indicate that the volatility of the stock markets of emerging countries is more sensitive to global factors such as GEPU and oil price volatility, and that oil exporters and importers in emerging economies are more sensitive to oil price volatility than oil exporters and importers in developed economies, which is in line with previous studies.

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The media has prominently featured the totemic reproductive number R in its COVID-19 coverage despite being an imperfect measure of the degree of infectivity of the virus. As such, it conveys information to the public regarding the state of the pandemic that affects market sentiment. We analyze how news about R affects the volatility in stock markets worldwide and find that when R is greater than one, which means the spread of the disease should soar, it has a positive and significant effect on volatility. Our results hold after controlling for government interventions and several robustness checks.

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The COVID-19 pandemic has exerted a noteworthy impact on stock market volatility around the world. Can vaccination programs revert these adverse effects? To answer this question, we scrutinize daily data from 66 countries from January 1, 2020 to April 30, 2021. We provide convincing evidence that COVID-19 vaccination assists in stabilizing the global equity markets. The drop in volatility is robust to many considerations and does not result solely from either the pandemic itself or the government policy responses-the negative correlation remains significant after controlling for these factors. The impact of vaccinations is relatively stronger within developed markets than in emerging ones.

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Stock markets across the world have exhibited varying degrees of volatility following the recent COVID-19 pandemic. We have examined the effect of this pandemic on stock market volatility and whether economic strength, measured by a set of selected country-level economic characteristics and factors such as economic resilience, intensity of capitalism, level of corporate governance, financial development, monetary policy rate and quality of health system, can potentially mitigate the possible detrimental effect of the global pandemic on stock market volatility. Using data from 34 developed and emerging markets, we have found that these country-level economic characteristics and factors do help to reduce the volatility arising due to the virus pandemic. The results of this paper are important as policymakers can use these economic factors to set policy responses to tackle extraordinary heat in the global stock market in order to avoid any possible future financial crisis.

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The Covid-19 pandemic continues to disturb the global economy and capital markets. Governments across the globe relentlessly enact health policy measures to contain coronavirus and undertake economic relief programs to reduce the impacts on their economies. This paper examines the effects of Covid-19 government health measures on the volatility of capital markets in East Asian economies. The study applies Monte Carlo type simulations to determine stock price volatility over the period when health policy measures were implemented. The findings indicate that different health policy measures have affected investors' behavior and caused volatility of stock markets. However, there are country-different impacts on the volatility of these capital markets. The findings provide important insights that are useful when reviewing Covid-19 health policy measures to mitigate the impacts on stock markets.

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Understanding the impact of infectious disease pandemic on stock market volatility is of great concerns for investors and policy makers, especially during recent new coronavirus spreading period. Using an extended GARCH-MIDAS model and a newly developed Infectious Disease Equity Market Volatility Tracker (EMV-ID), we investigate the effects of infectious disease pandemic on volatility of US, China, UK and Japan stock markets through January 2005 to April 2020. The empirical results show that, up to 24-month lag, infectious disease pandemic has significant positive impacts on the permanent volatility of international stock markets, even after controlling the influences of past realized volatility, global economic policy uncertainty and the volatility leverage effect. At different lags of eruptions in infectious disease pandemic, EMV-ID has distinct effects on various stock markets while it has the smallest impact on permanent volatility of China's stock market.

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We investigate the impact of governments' social distancing measures against the novel coronavirus disease 2019 (COVID-19) as this was reflected on 45 major stock market indices. We find evidence of negative direct and indirect (spillover) effects for the initial period of containment measures (lockdown).

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COVID-19 has had significant impact on US stock market volatility. This study focuses on understanding the regime change from lower to higher volatility identified with a Markov Switching AR model. Utilizing machine learning feature selection methods, economic indicators are chosen to best explain changes in volatility. Results show that volatility is affected by specific economic indicators and is sensitive to COVID-19 news. Both negative and positive COVID-19 information is significant, though negative news is more impactful, suggesting a negativity bias. Significant increases in total and idiosyncratic risk are observed across all industries, while changes in systematic risk vary across industry.

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Do government interventions aimed at curbing the spread of COVID-19 affect stock market volatility? To answer this question, we explore the stringency of policy responses to the novel coronavirus pandemic in 67 countries around the world. We demonstrate that non-pharmaceutical interventions significantly increase equity market volatility. The effect is independent from the role of the coronavirus pandemic itself and is robust to many considerations. Furthermore, two types of actions that are usually applied chronologically particularly early-information campaigns and public event cancellations-are the major contributors to the growth of volatility.