Uncertainty governance in the stock market during the COVID-19: evidence of the strictest economies in the world

Sakine Owjimehr and Hooman Hasanzadeh Dastfroosh

China Finance Review International, 2022, vol. 13, issue 3, 362-387

Abstract: Purpose - According to the Government Response tracker (oxCGRT) index, the strictest policy responses to the coronavirus pandemic from January 2020 to May 2022 belong to Italy, China, Hong Kong, Greece, Austria, Peru, Singapore and Malaysia. The main question is: “this level of strictness has been able to reduce the uncertainty of the stock market?” Design/methodology/approach - To achieve this goal, the authors investigated the effect of oxCGRT index, and the growth rate of COVID-19 confirms cases on stock market uncertainty from January 2020 to May 2022 in the GARCH, EGARCH and TGARCH models. Findings - Among these countries, the oxCGRT index has reduced uncertainty in the stock market only in Malaysia and Singapore. This result says an appropriate pattern of applying government policy responses is more important than the degree of stringency. Originality/value - The study will contribute to the existing literature by examining the impact of the comprehensive oxCGRT index on the uncertainty of the stock market.

Keywords: oxCGRT index; Stock market; Uncertainty governance; Strictest economies (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eme:cfripp:cfri-07-2022-0109

DOI: 10.1108/CFRI-07-2022-0109

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