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The current research aims to investigate the impact of coronavirus 2019 (COVID-19) evolution, government stringency measures and economic resilience on stock market volatility in the Middle East and North African (MENA) emerging markets. Other macroeconomic factors were also taken into account.

Based on financial data from 10 selected MENA countries, we tested an integrated framework that has not yet been explored in prior research. The exponential generalized autoregressive conditional heteroskedasticity (E-GARCH) was adopted to analyze data from March 2020 to February 2022.

Our research illustrates the direct and indirect effects of the virus outbreak on stock market stability and reports that economic resilience could alleviate the volatility shock. This finding is robust across the various proxies of economic resilience used in this study. We also argue that the negative impact of the pandemic on equity market variation gets more pronounced in countries with higher level of stringency scores.

Policymakers ought to strengthen their economic structures and reinforce the economic governance at the national level to gain existing and potential investors’ trust and ensure lower stock market volatilities in times of crisis. Our study also recommends some key economic factors to consider while establishing efficient policies to tackle unexpected shocks and prevent financial meltdowns.

Our findings add to the evolving literature on the reaction of economic and financial markets to the sanitary crisis, particularly in developing countries where research is still scarce. This study is the first of its kind to investigate the stock market reaction to stringency measures in the understudied MENA region.