Stock markets’ reaction to Covid-19: Moderating role of national culture

•Stock markets around the world reacted to the Covid-19 pandemic with negative returns•However, stock markets’ reaction was not uniform across countries•National-level uncertainty avoidance moderates the stock markets’ reaction to the pandemic.•Decline in stock market returns due to the Covid-19 confirmed cases is stronger in countries with higher uncertainty avoidance Recent literature reports stock markets around the world reacted to the Covid-19 pandemic with negative returns. However, this reaction was not uniform across countries. In this paper, we postulate that the national-level uncertainty avoidance, which determines how sensitive members of a nation are to uncertainty, moderates the stock markets’ reaction to the pandemic. Using daily data of Covid-19 confirmed cases and stock market returns from 43 countries, we find robust evidence that the decline in stock market returns in response to one percent increase in growth in confirmed cases is stronger for the countries with higher national-level uncertainty aversion.