Turbulence in the financial markets : cross-country differences in market volatility in response to COVID-19 pandemic policies

The current coronavirus pandemic has had far-reaching global effects on the health and wellbeing of individuals across each and every continent of the world. The economic and financial market response has been equally disastrous and turbulent with high levels of volatility observed across international financial markets. This study explores the temporal relation between the observed structural breaks, market volatility and government policy interventions for 28 countries and their respective market indices. We present results which indicate that the establishment of stay-at-home policies cause sharp discontinuities in 15 of the 28 markets (53.57%) and increase market efficiency in 30 of 49 stay-at-home policy establishment cases (61.22%). These results indicate a small, yet statistically significant degree of persistence and hence, predictability in international financial markets and their associated market indices in response to stay-at-home policies.