Stock market volatility and the COVID-19 reproductive number

Fernando Díaz, Pablo A. Henríquez, Diego Winkelried

Research output: Contribution to journalArticle in a journalpeer-review

25 Scopus citations


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.

Original languageEnglish
Article number101517
Number of pages10
JournalResearch in International Business and Finance
Early online date24 Aug 2021
StatePublished - Jan 2022

Bibliographical note

Publisher Copyright:
© 2021 Elsevier B.V.

© 2021 Elsevier B.V. All rights reserved.


  • COVID-19
  • Panel data
  • Reproductive number
  • Stock market volatility


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