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

Jan Jakub Szczygielski*, Princess Rutendo Bwanya, Ailie Charteris, Janusz Brzeszczyński

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
Article number101945
JournalFinance Research Letters
Early online date26 Jan 2021
DOIs
Publication statusE-pub ahead of print - 26 Jan 2021

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