Time-Varying Granger Causality of COVID-19 News on Emerging Financial Markets: The Latin American Case

Semei Coronado; Jose N. Martinez; Victor Gualajara; Rafael Romero-Meza; Rojas, Omar

doi:10.3390/math11020394

Time-Varying Granger Causality of COVID-19 News on Emerging Financial Markets: The Latin American Case

Journal

Mathematics

ISSN

2227-7390

Date Issued

2023

Author(s)

Semei Coronado

Jose N. Martinez

Victor Gualajara

Rafael Romero-Meza

Rojas, Omar

Escuela Superior de Dirección y Administración de Instituciones - CampGDL

Type

text::journal::journal article

DOI

10.3390/math11020394

URL

https://scripta.up.edu.mx/handle/20.500.12552/3785

Abstract

This study uses daily COVID-19 news series to determine their impact on financial market volatility. This paper assesses whether U.S. financial markets react differently to COVID-19 news than emerging markets and if such markets are impacted differently by country-specific and global news. To detect the spillover effects from news on market volatility, a time-varying DCC-GARCH model was applied. The results suggest that the U.S. and emerging markets are affected differently by pandemic news, global series have a stronger impact on emerging markets than country-specific ones, and misleading information plays a significant role in financial market volatility, especially for the U.S.