TY - JOUR
T1 - The only certainty is uncertainty
T2 - An analysis of the impact of COVID-19 uncertainty on regional stock markets
AU - Szczygielski, Jan Jakub
AU - Bwanya, Princess Rutendo
AU - Charteris, Ailie
AU - Brzeszczyński, Janusz
PY - 2021/11/1
Y1 - 2021/11/1
N2 - 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 search 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 search trends capture uncertainty by comparing this measure against alternative uncertainty measures.
AB - 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 search 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 search trends capture uncertainty by comparing this measure against alternative uncertainty measures.
KW - COVID-19
KW - pandemic
KW - regions
KW - returns
KW - structural breaks
KW - volatility
UR - http://www.scopus.com/inward/record.url?scp=85107372763&partnerID=8YFLogxK
U2 - 10.1016/j.frl.2021.101945
DO - 10.1016/j.frl.2021.101945
M3 - Article
C2 - 33519309
SN - 1544-6123
VL - 43
JO - Finance Research Letters
JF - Finance Research Letters
M1 - 101945
ER -
