Generalized Market Uncertainty Measurement in European Stock Markets in Real Time

We estimate generalized market uncertainty indicators for the stock markets of eight European countries greatly affected by the recent Covid-19 crisis and the economic measures implemented for its containment and mitigation. Our statistics emphasize the difference between risk and uncertainty, in th...

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Detalles Bibliográficos
Autores: Uribe Gil, Jorge Mario, Guillén, Montserrat
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2020
País:España
Institución:Universidad de Barcelona
Repositorio:Dipòsit Digital de la UB
OAI Identifier:oai:diposit.ub.edu:2445/174625
Acceso en línea:https://hdl.handle.net/2445/174625
Access Level:acceso abierto
Palabra clave:Mercat financer
Incertesa (Teoria de la informació)
Borsa de valors
COVID-19
Financial market
Uncertainty (Information theory)
Stock-exchange
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spelling Generalized Market Uncertainty Measurement in European Stock Markets in Real TimeUribe Gil, Jorge MarioGuillén, MontserratMercat financerIncertesa (Teoria de la informació)Borsa de valorsCOVID-19Financial marketUncertainty (Information theory)Stock-exchangeCOVID-19We estimate generalized market uncertainty indicators for the stock markets of eight European countries greatly affected by the recent Covid-19 crisis and the economic measures implemented for its containment and mitigation. Our statistics emphasize the difference between risk and uncertainty, in the aggregate, and provide readily and easily interpretable estimates, in real time, which are relevant for market participants and regulators. We show that generalized uncertainty in Europe was, indeed, at historically high levels in the wake of the recent public health crisis before the large interventions by the European Central Bank, the Fed, and the Bank of England, but also that, for some markets, recently recorded uncertainty levels were still lower than those recorded during the Global Financial Crisis, which puts things into perspective. We also show that uncertainty shocks are extremely persistent, but such persistence varies greatly across countries. The period needed for the markets to absorb half of the shock lies between less than a year and two and a half years.MDPI2020info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://hdl.handle.net/2445/174625Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)reponame:Dipòsit Digital de la UBinstname:Universidad de BarcelonaInglésReproducció del document publicat a: https://doi.org/10.3390/math8122148Mathematics, 2020, vol. 8, num. 12, p. 2148https://doi.org/10.3390/math8122148cc-by (c) Uribe Gil, Jorge Mario et al., 2020http://creativecommons.org/licenses/by/3.0/esinfo:eu-repo/semantics/openAccessoai:diposit.ub.edu:2445/1746252026-05-27T06:46:51Z
dc.title.none.fl_str_mv Generalized Market Uncertainty Measurement in European Stock Markets in Real Time
title Generalized Market Uncertainty Measurement in European Stock Markets in Real Time
spellingShingle Generalized Market Uncertainty Measurement in European Stock Markets in Real Time
Uribe Gil, Jorge Mario
Mercat financer
Incertesa (Teoria de la informació)
Borsa de valors
COVID-19
Financial market
Uncertainty (Information theory)
Stock-exchange
COVID-19
title_short Generalized Market Uncertainty Measurement in European Stock Markets in Real Time
title_full Generalized Market Uncertainty Measurement in European Stock Markets in Real Time
title_fullStr Generalized Market Uncertainty Measurement in European Stock Markets in Real Time
title_full_unstemmed Generalized Market Uncertainty Measurement in European Stock Markets in Real Time
title_sort Generalized Market Uncertainty Measurement in European Stock Markets in Real Time
dc.creator.none.fl_str_mv Uribe Gil, Jorge Mario
Guillén, Montserrat
author Uribe Gil, Jorge Mario
author_facet Uribe Gil, Jorge Mario
Guillén, Montserrat
author_role author
author2 Guillén, Montserrat
author2_role author
dc.subject.none.fl_str_mv Mercat financer
Incertesa (Teoria de la informació)
Borsa de valors
COVID-19
Financial market
Uncertainty (Information theory)
Stock-exchange
COVID-19
topic Mercat financer
Incertesa (Teoria de la informació)
Borsa de valors
COVID-19
Financial market
Uncertainty (Information theory)
Stock-exchange
COVID-19
description We estimate generalized market uncertainty indicators for the stock markets of eight European countries greatly affected by the recent Covid-19 crisis and the economic measures implemented for its containment and mitigation. Our statistics emphasize the difference between risk and uncertainty, in the aggregate, and provide readily and easily interpretable estimates, in real time, which are relevant for market participants and regulators. We show that generalized uncertainty in Europe was, indeed, at historically high levels in the wake of the recent public health crisis before the large interventions by the European Central Bank, the Fed, and the Bank of England, but also that, for some markets, recently recorded uncertainty levels were still lower than those recorded during the Global Financial Crisis, which puts things into perspective. We also show that uncertainty shocks are extremely persistent, but such persistence varies greatly across countries. The period needed for the markets to absorb half of the shock lies between less than a year and two and a half years.
publishDate 2020
dc.date.none.fl_str_mv 2020
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2445/174625
url https://hdl.handle.net/2445/174625
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv Reproducció del document publicat a: https://doi.org/10.3390/math8122148
Mathematics, 2020, vol. 8, num. 12, p. 2148
https://doi.org/10.3390/math8122148
dc.rights.none.fl_str_mv cc-by (c) Uribe Gil, Jorge Mario et al., 2020
http://creativecommons.org/licenses/by/3.0/es
info:eu-repo/semantics/openAccess
rights_invalid_str_mv cc-by (c) Uribe Gil, Jorge Mario et al., 2020
http://creativecommons.org/licenses/by/3.0/es
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
reponame:Dipòsit Digital de la UB
instname:Universidad de Barcelona
instname_str Universidad de Barcelona
reponame_str Dipòsit Digital de la UB
collection Dipòsit Digital de la UB
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300724

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