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- Title
Responses of the International Bond Markets to COVID-19 Containment Measures.
- Authors
To, Bao Cong Nguyen; Nguyen, Tam Van Thien; Nguyen, Nham Thi Hong; Ho, Hoai Thu
- Abstract
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.
- Subjects
EXPORT marketing; COVID-19; COVID-19 pandemic; COST control; MARKET volatility; COVID-19 vaccines; INTERNATIONAL markets
- Publication
Journal of Risk & Financial Management, 2022, Vol 15, Issue 3, p127
- ISSN
1911-8066
- Publication type
Article
- DOI
10.3390/jrfm15030127