COVID-19 Containment Measures and Expected Stock Volatility: High-Frequency Evidence from Selected Advanced Economies

We study the effect of COVID-19 containment measures on expected stock price volatility in some advanced economies, using event studies with hand-collected minute-level data and panel regressions daily data. find that six-month-ahead indices dropped following announcements initial or re-imposed lockdowns, they did not drop significantly easing lockdowns. Such patterns are as strong for three-month-ahead generally absent one-month-ahead volatility. These results provide suggestive evidence existence an intertemporal trade-off: although stringent cause short-term economic disruptions, may reduce medium-term uncertainty (reflected volatility) by boosting markets’ confidence outbreak would be under control more quickly.