“The impact of Covid-19 on the market volatility: A quantitative analysis of the Italian banking sector”

This paper investigates the impact of the Covid-19 pandemic on the volatility of the Italian banking sector. A sample of 25 financial intermediaries listed on the Italian stock exchange is examined and compared with key benchmarks (FTSE Mib, VSTOXX, and VIX). After presenting descriptive statistics, the analysis applies hypothesis testing and a GARCH model to explore differences across three phases: before, during, and after the pandemic. Results show that volatility in the Italian banking sector rose by more than 40 % during the pandemic relative to the pre-Covid period, with daily fluctuations reaching peaks above 15 %, broadly consistent with international benchmarks. The GARCH estimates further reveal that the PEPP programme reduced volatility by roughly 10 %–15 % during the most turbulent phases, whereas APP had no significant stabilizing effect. The study contributes a sectoral and temporal focus, providing one of the first longitudinal analyses of Italian banking volatility and highlighting the critical role of ECB interventions in mitigating systemic risk.