 The contagion of fake news concern and extreme stock market risks during the COVID-19 periodYun Hong, Bo Qu, Zhuohang Yang and Yanhui Jiang Finance Research Letters, 2023, vol. 58, issue PA Abstract: We investigate the spillover between fake news concern and extreme stock market risks during the COVID-19 period in six hard-hit developed and developing countries. Our results of employing the TVP-VAR connectedness approach suggest that total connectedness surged and peaked during the more uncertain period; fake news concern impacted the extreme stock market risk both domestically and abroad. Additionally, fake news concern in developed countries, especially the US, is more influential than that in developing countries. We also find that the impact of fake news concern on stock market extreme volatility decreases after the inclusion of legitimate news, and local fake news concern appears to have a greater impact than legitimate news concern in developing countries. Our research shows the importance of verifying the authenticity of information during a crisis. Keywords: Fake news concern; Extreme stock market risk; Contagion; TVP-VAR model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300630x DOI: 10.1016/j.frl.2023.104258 Access Statistics for this article Finance Research Letters is currently edited by R. Gençay More articles in Finance Research Letters from Elsevier |
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