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

Jan Jakub Szczygielski, Princess Rutendo Bwanya, Ailie Charteris and Janusz Brzeszczynski

Finance Research Letters, 2021, vol. 43, issue C

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 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 is evidence of an increasing impact of COVID-19 related uncertainty which dissipates as the crisis evolves. We confirm that Google search trends capture uncertainty by comparing this measure against alternative uncertainty measures.

Keywords: COVID-19; pandemic; returns; volatility; regions; structural breaks (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (37)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461232100026X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s154461232100026x

DOI: 10.1016/j.frl.2021.101945

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().