Semei CoronadoJose N. MartinezVictor GualajaraRafael Romero-MezaRojas, OmarOmarRojas2023-07-142023-07-142023https://scripta.up.edu.mx/handle/20.500.12552/378510.3390/math11020394<jats:p>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.</jats:p>Resource Types::text::journal::journal article