TITLE:
Impact of Economic Uncertainty Related to Stock Market Uncertainty during the COVID-19 Pandemic Epidemic
AUTHORS:
Yue Jin
KEYWORDS:
COVID-19, Economic Policy Uncertainty, Stock Uncertainty, Skewness, EPU (Economic Policy Uncertainty Index), EMU (Equity Market-Related Economic Uncertainty Index), EMI (Equity Market Volatility: Infectious Disease Tracker)
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.11 No.4,
December
30,
2022
ABSTRACT: This paper examines the impact of economic uncertainty on the stock
market crisis during the COVID-19 epidemic. We construct a GARCH
type of model to measure the daily skewness
of S&P 500 for the tail risk of the U.S. stock market. We measure economic uncertainty using three indices including
the EPU (Economic Policy Uncertainty Index),
EMU (Equity Market-related Economic Uncertainty Index), and EMI (Equity
Market Volatility: Infectious Disease Tracker). The empirical findings reveal a
positive correlation between daily skewness
and economic uncertainty and this correlation gets stronger after the outbreak of the COVID-19 pandemic. Our
results embrace consistent economic policy schemes for
overall stock market stability.