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

Authors: Szczygielski, Jan Jakub ;

Bwanya, Princess Rutendo ;

Charteris, Ailie;

Brzeszczyński, Janusz

Source: Finance Research Letters

Full text

: 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 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.

Rights

This content is not covered by the Open Government Licence. Please see source record or item for information on rights and permissions.

Cite as

Szczygielski, J., Bwanya, P., Charteris, A. & Brzeszczyński, J. 2021, 'The only certainty is uncertainty: an analysis of the impact of COVID-19 uncertainty on regional stock markets', Finance Research Letters, 43, article no: 101945. https://doi.org/10.1016/j.frl.2021.101945

Downloadable citations

HTML BIB RIS

Identifiers

DOI: https://doi.org/10.1016/j.frl.2021.101945

Repository URI: https://rgu-repository.worktribe.com/output/1893440