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The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets.

ABSTRACT: Uncertainty surrounding COVID-19 is widespread. We investigate the timing and quantify the impact of COVID-19 related uncertainty on returns and volatility for regional market aggregates using ARCH/GARCH models. Drawing upon economic psychology, COVID-19 related uncertainty is measured by searches for information as reflected by Google Trends. Asian markets are more resilient than others. Latin American markets are most impacted in terms of returns and volatility. For most regions, there is evidence of an increasing impact of COVID-19 related uncertainty which dissipates as the crisis evolves. We confirm that Google Trends capture uncertainty by comparing this measure against alternative uncertainty measures.

SUBMITTER: Szczygielski JJ

PROVIDER: S-EPMC7835099 | biostudies-literature | 2021 Jan

REPOSITORIES: biostudies-literature

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The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets.

Szczygielski Jan Jakub JJ Bwanya Princess Rutendo PR Charteris Ailie A Brzeszczyński Janusz J

Finance research letters 20210126

Uncertainty surrounding COVID-19 is widespread. We investigate the timing and quantify the impact of COVID-19 related uncertainty on returns and volatility for regional market aggregates using ARCH/GARCH models. Drawing upon economic psychology, COVID-19 related uncertainty is measured by searches for information as reflected by Google search trends. Asian markets are more resilient than others. Latin American markets are most impacted in terms of returns and volatility. For most regions, there ...[more]

PMID: 33519309

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