We consider several economic uncertainty indicators for the US and UK before and during
the COVID-19 pandemic: implied stock market volatility, newspaper-based policy …

We study the short-term market reactions of US and European stocks during the beginning
of the COVID-19 pandemic. Employing an event study, we document that stocks react …

This paper studies the connectedness among energy equity indices of oil-exporting and oil-
importing countries around the world. For each country, we construct time-varying measures …

We construct a novel database containing hundreds of thousands geotagged messages
related to the COVID-19 pandemic sent on Twitter. We create a daily index of social …

Economic uncertainty jumped in reaction to the COVID-19 pandemic, with most indicators
reaching their highest values on record. Alongside this rise in uncertainty has been an …

A growing empirical literature on how to measure uncertainty has emerged following the
2007–2008 financial crisis. This paper first reviews the different methods measuring …

The paper proposes a novel point-wise entropy approach to measure the time-varying
losses in the value of information that investors associate with market signals, financial and …

We study how the market return depends on the time of the day using E-mini S&P 500
futures actively traded around the clock. Strikingly, 4 hours around European open account …

Economic Policy Uncertainty (EPU) represents the uncertainty realized by the investors
during economic policy alterations. EPU is a critical indicator in economic studies to predict …

Economic Policy Uncertainty (EPU) is a critical indicator in economic studies, while it can be
used to forecast a recession. Under higher levels of uncertainty, firms' owners cut their …