The Interconnectedness between COVID-19 Uncertainty and Stock Market Returns in Selected ASEAN Countries

Chinmaya Behera and Badri Rath

Emerging Markets Finance and Trade, 2023, vol. 59, issue 2, 515-527

Abstract: This paper examines the interconnectedness between the COVID-19 uncertainty index and stock returns in selected ASEAN countries. Results from the study, which uses the dynamic connectedness approach, show that on average, 47.06% of a shock on one index spills over to all other indices. This indicates that stock market returns are highly interconnected to the COVID-19 uncertainty index in ASEAN countries. However, the COVID-19 uncertainty index is not a predictor of stock returns in the ASEAN countries chosen for the study.

Date: 2023
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DOI: 10.1080/1540496X.2022.2096434

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