The following paper analyzes the consequences of financing constraints on two different but interrelated Nordic economies. The main purpose of the research is to find out main drivers of the equity volatility pattern of Finnish and Swedish firms with research and development investments during the 2007–2009 global economic downturn. We present findings on the equity volatility of 100 public companies with an intensive level of research and development investment using data from two Nordic markets, and we focus, in particular, on how the R&D-intensive firms' equity volatility response to the economic shocks of the financial crisis. Applying the pooled regression, fixed-effects and random-effects models, we find that the financially constrained R&D-intensive firms experience lower levels of equity volatility during the financial crisis. Additionally, we provide evidence for the notion that the cash holdings cannot affect the equity volatility of the financially constrained R&D-intensive firms. On the other hand, the net leverage can mitigate the effect of the financing constraints on the R&D-intensive firms’ equity volatility during the financial crisis. Our research contributes to the recent literature on equity volatility and financing constraints by providing an insight on two interconnected but distinct Nordic markets and the application of more recent data from their publicly traded companies.