The study examined the nexus between the COVID-19 pandemic and the market volatility of the global markets. For this purpose, a 30-country sample was used based on the most COVID-19 cases and deaths during the study period, from January 1 to December 12, 2020. We employed panel quantile regression and Panel Estimated Generalized Least Square (Panel-EGLS) frameworks to analyze the influence of COVID-19 on volatility in the whole sample and subsamples of emerging and developed markets. Our results of Panel-EGLS showed that the new cases and deaths positively impact volatility in the naïve and control models. The results from quantile regression also illustrated that new deaths and cases have positively influenced market volatility at the 50th and 75th quantiles. From the subsamples, our results demonstrate almost similar signs and significance for the impact of COVID-19 on market volatility in developed and emerging markets in both the naïve and control models. Both the results illustrate that any increase in COVID-19 positively caused volatility in the whole and subsamples at the mean and upper quantile levels. Our results necessitate coordinated global government actions to stabilize markets, mitigate volatility's impact by proactive policies in future health crises, and underscore a monetary policy for stability.
