Dynamic Relationship Between Covid-19-Related News And Stock Market Returns In Africa

Abstract

The upsurge of the COVID-19 pandemic has had a devastating impact on financial markets as well as social and political repercussions around the world. Investors‘ decisions were impacted by the widespread that media coverage of the pandemic brought on by the disease's spread. Between 1st February 2020 and 28th February 2022 is the specific focus period of this research. The study's goal is to evaluate and analyse how Africa's stock markets responded dynamically to COVID-19-related news utilizing quantilein- quantile regression and quantile regression as its methods of estimate. In relation to the aim of this research, the findings indicated that the panic index has a positive and significant impact on the stock returns in a bearish market and a significant and adverse influence on a bullish market in Nigeria, Morocco, Egypt, South Africa, Ghana, and Mauritius. The results also show that a decrease in fake news produces a rise in stock returns in Ghana, Mauritius, Egypt, and South Africa, and vice versa in extreme market conditions. However, Fake news has no impact on the returns of the indices when the market is either bullish or bearish in Morocco and Nigeria. Also, the media coverage index has an adverse and significant impact on both the lower and upper quantiles for Ghana, Morocco, and South Africa, as well as all quantiles for Nigeria and Mauritius. This study suggests that more intensive use of proper communication channels is required to mitigate COVID-19- related financial turbulence. The government may adopt accurate and reliable dissemination of information or news about the COVID-19 outbreak through proper channels of communication.