Geographical COVID-19 Uncertainty and The Market Impact of Initial Jobless Claims News
22 Pages Posted: 9 Feb 2022 Last revised: 21 Feb 2023
Date Written: February 17, 2023
Abstract
We investigate whether health uncertainty affects the stock market's reaction to macroeconomic news. We construct a daily measure of health uncertainty as the dispersion in the change in new COVID-19 cases across all 50 U.S. states. If, over a given week, the number of new cases goes down in some states but up in others, investors will be more uncertain about the future path of the pandemic compared to a week when the number of new cases goes up (or down) in all states. We show that the marginal effect of uncertainty is strongly negative during the pandemic. As health uncertainty increases, the release of higher than expected initial jobless claims has an increasingly negative impact on high-frequency E-mini S&P500 futures announcement returns.
Keywords: COVID-19, macroeconomics news, uncertainty
JEL Classification: G14, D83
Suggested Citation: Suggested Citation