Covid-19 vaccination and stock markets volatility around the world. Evidence from wavelet analysis

The impact of COVID-19 vaccination on stock markets volatility has been the focus of academics in the aftermath of the pandemic. We use wavelet coherence analysis on the daily stock markets for 74 countries, covering all regions of the world to test relationship between vaccination and stock markets. Our results show the positive effect of vaccination against COVID-19 for all stock markets, while the effects are stronger for developed countries and weaker for emerging countries. Furthermore, effect is present in short-medium term for emerging economies, while for developed countries the effect is present also in the long-term.