We examine dynamic correlations between COVID-19 pandemic and stock markets.
•
Pandemic anxiety indexes are constructed based on COVID-19 reported cases and deaths.
•
The COVID-19 anxiety indexes are volatile over time but have an overall downtown trend.
•
The correlations between stock markets and pandemic anxiety indexes are time varying.
•
The correlations become weaker after the announcement of the mRNA-based vaccine.
Abstract
In this study, we constructed two pandemic anxiety indexes based on an assumption that people's emotions fluctuate with the COVID-19 reported cases and deaths, to examine the dynamic co-movements between these anxiety indexes and the stock markets in the BRICS and G7 countries. We found that the anxiety indexes are volatile over time but have an overall downtown trend. The correlations between stock market returns and the epidemic anxiety indexes are time varying. We found a common feature across the countries studied, namely that the correlation becomes weaker and has smaller fluctuations after the announcement of the mRNA-based COVID-19 vaccine.
