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

Szczygielski, Kuba, Bwanya, Princess, Charteris, Ailie and Brzeszczyński, Janusz (2021) The only certainty is uncertainty: An analysis of the impact of COVID-19 uncertainty on regional stock markets. Finance Research Letters. p. 101945. ISSN 1544-6123 (In Press)

[img] Text
Final manuscript.pdf - Accepted Version
Restricted to Repository staff only until 26 January 2022.
Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0.

Download (1MB) | Request a copy
Official URL: https://doi.org/10.1016/j.frl.2021.101945

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 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 Trends capture uncertainty by comparing this measure against alternative uncertainty measures.

Item Type: Article
Uncontrolled Keywords: COVID-19, pandemic, returns, volatility, regions, structural breaks
Subjects: N100 Business studies
Department: Faculties > Business and Law > Newcastle Business School
Depositing User: John Coen
Date Deposited: 29 Jan 2021 12:31
Last Modified: 31 Jul 2021 16:47
URI: http://nrl.northumbria.ac.uk/id/eprint/45334

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics