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

Author

Listed:
  • Semei Coronado

    (Palomar College, San Marcos, CA 92069, USA)

  • Jose N. Martinez

    (Accounting, Finance and Economics Department, California State University, Dominguez Hills, Carson, CA 90747, USA)

  • Victor Gualajara

    (Departamento de Métodos Cuantitativos, Centro Universitario de Ciencias Económico Administrativas, Universidad de Guadalajara, Guadalajara 44100, Jalisco, Mexico)

  • Rafael Romero-Meza

    (Departamento de Gestión y Negocios, Facultad de Economía y Negocios, Universidad Alberto Hurtado, Santiago 6500620, Chile)

  • Omar Rojas

    (Facultad de Ciencias Económicas y Empresariales, Universidad Panamericana, Zapopan 45010, Jalisco, Mexico
    Faculty of Economics and Business, Universitas Airlangga, Surabaya 60286, East Java, Indonesia)

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.

Suggested Citation

  • Semei Coronado & Jose N. Martinez & Victor Gualajara & Rafael Romero-Meza & Omar Rojas, 2023. "Time-Varying Granger Causality of COVID-19 News on Emerging Financial Markets: The Latin American Case," Mathematics, MDPI, vol. 11(2), pages 1-18, January.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:2:p:394-:d:1033153
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    References listed on IDEAS

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