Response of stock market volatility to COVID-19 announcements and stringency measures: A comparison of developed and emerging markets

•Similar announcements impact volatility differently based on the nature of the market.•COVID-19 death rate has a positive impact on volatility only in the emerging markets.•Improvement in COVID-19 recovery rates dampen volatility only in emerging markets.•Government actions increase volatility in emerging and decrease it in developed markets.•News of development of Pfizer-BioNTech vaccine increased volatility in both markets. We investigate the relationship between the daily release of COVID-19 related announcements, defensive government interventions, and stock market volatility, drawing upon an extended time period of one year, to independently test, confirm and iteratively improve on previous research findings. We categorize stock markets into emerging and developed markets and consider differences and similarities utilizing an asymmetric measure of volatility. We find that there are major differences between these markets with respect to investors’ interpretation of risk in response to daily new confirmed cases, death rates, recovery rates, and different defensive government interventions. We suggest explanations for these differences, in terms of national culture, and the quality of governance. Moreover, the development of Pfizer-BioNTech's vaccine is of immense importance to both markets. The findings have implications for tailoring government responses to crises in country-specific contexts.