Existing studies on the COVID-19 pandemic and vaccine development have primarily focused on national stock markets, with limited attention to international financial markets. This paper constructs a news-based index to measure public sentiment regarding the progress of COVID-19 vaccine development during the first year of the outbreak and examines its impact on international financial markets. We find that positive vaccine development sentiment decreases the CBOE Volatility Index (VIX) while boosting capital inflows and currency appreciation in emerging markets, as vaccine development leads to a greater reduction in public expectations of future risk in these markets. It also lowers the unit price of risk in the context of carry trade risk premiums, as favorable developments reduce expected future economic uncertainty.

中文翻译：

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COVID-19 疫苗对国际金融市场的影响


关于 COVID-19 大流行和疫苗开发的现有研究主要集中在国内股票市场，对国际金融市场的关注有限。本文构建了一个基于新闻的指数，以衡量公众对 COVID-19 疫苗开发进展的看法，并研究其对国际金融市场的影响。我们发现，积极的疫苗开发情绪降低了 CBOE 波动率指数 （VIX），同时促进了新兴市场的资本流入和货币升值，因为疫苗开发导致公众对这些市场未来风险的预期进一步降低。在套利交易风险溢价的情况下，它还降低了风险的单价，因为有利的发展减少了预期的未来经济不确定性。