  This paper examines the impact of coronavirus (COVID-19) on stock market
volatility (SMV) in Pakistan by controlling the effect of exchange rate,
interest rate and government/central bank interventions to combat the pandemic.
We used the vector autoregressive (VAR) model over a sample period ranging from
February 25, 2020 to December 7, 2020. We find that a shock to total daily
coronavirus cases in Pakistan lead to a significant increase in SMV. This
result is aligned with a vast literature on pandemics and investors uncertainty
and remains robust to several robustness checks applied in our analysis.
