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• W4281566338 abstract "• Pandemic uncertainty and its effect on stock market activity. • Google search volume to measure pandemic uncertainty and the FEARS. • Pandemic uncertainty, and FEARS sentiment strongly co-move, and increased pandemic uncertainty leads to pessimistic investor sentiment. • Wavelet based time–frequency analysis. • Pandemic uncertainty and associated sentiment increased volatility and illiquidity in the market. We use daily data of the Google search engine volume index (GSVI) to capture the pandemic uncertainty and examine its effect on stock market activity (return, volatility, and illiquidity) of major world economies while controlling the effect of the Financial and Economic Attitudes Revealed by Search (FEARS) sentiment index. We use a time–frequency based wavelet approach comprising wavelet coherence and phase difference for our empirical assessment. During the early spread of the COVID-19, our results suggest that pandemic uncertainty, and FEARS sentiment strongly co-move, and increased pandemic uncertainty leads to pessimistic investor sentiment. Furthermore, our partial wavelet analysis results indicate a synchronization relationship between pandemic uncertainty and stock market activities across G7 countries and the world market. Our results are robust to the inclusion of alternative pandemic fear measure in the form of equity market volatility infectious disease tracker. The pandemic uncertainty and associated sentiment implications could be one plausible reason for increased volatility and illiquidity in the market, and hence, policymakers should look upon this issue for the financial market stability perspective." @default.
• W4281566338 created "2022-05-27" @default.
• W4281566338 creator A5033238356 @default.
• W4281566338 creator A5039650663 @default.
• W4281566338 date "2022-11-01" @default.
• W4281566338 modified "2023-10-11" @default.
• W4281566338 title "The COVID-19 pandemic uncertainty, investor sentiment, and global equity markets: Evidence from the time-frequency co-movements" @default.
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• W4281566338 doi "https://doi.org/10.1016/j.najef.2022.101712" @default.
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