Jedyną pewnością jest niepewność: Analiza wpływu niepewności COVID-19 na 
regionalne giełdy
[The only certainty is uncertainty: An analysis of the impact of COVID-19 
uncertainty on regional stock markets]

J.J. (Kuba) Szczygielski 
(Newcastle Business School, Northumbria University, UK)


Uncertainty surrounding COVID-19 is widespread. In this study, we investigate 
the timing and quantify the impact of COVID-19 related uncertainty on returns 
and volatility for six regional market aggregates using ARCH/GARCH models. We 
draw upon the paradigm of economic psychology, defining COVID-19 related 
uncertainty in terms of searches for information, as measured by Google Trends. 
Our results indicate that Asian markets, although immediately impacted, have 
been more resilient than others. Latin American markets are found to be most 
impacted in terms of both returns and volatility. Apart from Arab and African 
markets, there is evidence of an increasing impact of COVID-19 related 
uncertainty which then dissipates as the crisis evolves. We also show that 
COVID-19 uncertainty is part of the composite set of factors that drive returns 
over this period although its importance has declined substantially. Finally, 
we confirm the empirical relationship between COVID-19 uncertainty as measured 
by Google Trends and alternative measures of uncertainty during the COVID-19 
period.

(*) Based on joint work with Princess Bwanya (Northumbria), 
Ailie Charteris (Cape Town), Janusz Brzeszczynski (Northumbria).