Does Employee Stock Ownership Program Reduce a Company's Stock Volatility during the COVID-19 Lockdown?

We examine whether the ESOP (employee stock ownership program) has a significant effect on a company's stock volatility during the COVID-19 lockdown. We find that although banks' stock prices were more volatile in response to the rise of COVID-19 confirmed cases, banks with ESOP showed significantly lower volatility than banks without ESOP. To identify the causal effect of the ESOP implementation, we use the ESOP-culture-index of each country as an instrumental variable.