Impact of COVID-19 on ASEAN5 stock markets

This article assesses the impact of COVID-19 on ASEAN5 stock markets by applying dynamic panel regression models. Vaccine availability is a crucial factor in this respect. Before the availability of vaccinations, the stringent policy response to COVID-19 impacted stock returns, while, COVID-19 development, and related stringent policies, do not increase volatility. However, with vaccination drives currently in progress, the pandemic's impact is reducing in severity. Compared to previous financial crises, the current pandemic has a significant, but smaller, impact on ASEAN5 stock markets than the Global Financial Crisis (in terms of both return and volatility) and the taper tantrum (return only), while the impacts of other financial crises were limited. Our empirical results also suggest that local monetary and exchange rate policies could mitigate adverse impacts on regional stock markets.