Time-Varying Granger Causality of COVID-19 News on Emerging Financial Markets: The Latin American Case

Semei Coronado, Jose N. Martinez, Victor Gualajara, Rafael Romero-Meza and Omar Rojas ()
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Semei Coronado: Palomar College, San Marcos, CA 92069, USA
Jose N. Martinez: Accounting, Finance and Economics Department, California State University, Dominguez Hills, Carson, CA 90747, USA
Victor Gualajara: Departamento de Métodos Cuantitativos, Centro Universitario de Ciencias Económico Administrativas, Universidad de Guadalajara, Guadalajara 44100, Jalisco, Mexico
Rafael Romero-Meza: Departamento de Gestión y Negocios, Facultad de Economía y Negocios, Universidad Alberto Hurtado, Santiago 6500620, Chile
Omar Rojas: Facultad de Ciencias Económicas y Empresariales, Universidad Panamericana, Zapopan 45010, Jalisco, Mexico

Mathematics, 2023, vol. 11, issue 2, 1-18

Abstract: This study uses daily COVID-19 news series to determine their impact on financial market volatility. This paper assesses whether U.S. financial markets react differently to COVID-19 news than emerging markets and if such markets are impacted differently by country-specific and global news. To detect the spillover effects from news on market volatility, a time-varying DCC-GARCH model was applied. The results suggest that the U.S. and emerging markets are affected differently by pandemic news, global series have a stronger impact on emerging markets than country-specific ones, and misleading information plays a significant role in financial market volatility, especially for the U.S.

Keywords: COVID-19 news; volatility; granger causality; time-varying; time series; financial markets (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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