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Uncertainty governance in the stock market during the COVID-19: evidence of the strictest economies in the world

Sakine Owjimehr (Department of Economics, Shiraz University, Shiraz, Iran)
Hooman Hasanzadeh Dastfroosh (Department of Economics, Shiraz University, Shiraz, Iran)

China Finance Review International

ISSN: 2044-1398

Article publication date: 6 December 2022

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Abstract

Purpose

According to the Government Response tracker (oxCGRT) index, the strictest policy responses to the coronavirus pandemic from January 2020 to May 2022 belong to Italy, China, Hong Kong, Greece, Austria, Peru, Singapore and Malaysia. The main question is: “this level of strictness has been able to reduce the uncertainty of the stock market?”

Design/methodology/approach

To achieve this goal, the authors investigated the effect of oxCGRT index, and the growth rate of COVID-19 confirms cases on stock market uncertainty from January 2020 to May 2022 in the GARCH, EGARCH and TGARCH models.

Findings

Among these countries, the oxCGRT index has reduced uncertainty in the stock market only in Malaysia and Singapore. This result says an appropriate pattern of applying government policy responses is more important than the degree of stringency.

Originality/value

The study will contribute to the existing literature by examining the impact of the comprehensive oxCGRT index on the uncertainty of the stock market.

Keywords

Acknowledgements

Informed Consent Statement: Not applicable.

Data Availability Statement: https://www.investing.com and https://github.com/OxCGRT/covid-policy-tracker.

Funding: There was no external funding.

Conflicts of Interest: The authors declare no conflict of interest.

Citation

Owjimehr, S. and Hasanzadeh Dastfroosh, H. (2022), "Uncertainty governance in the stock market during the COVID-19: evidence of the strictest economies in the world", China Finance Review International, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/CFRI-07-2022-0109

Publisher

:

Emerald Publishing Limited

Copyright © 2022, Emerald Publishing Limited

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