Geographical COVID-19 Uncertainty and The Market Impact of Initial Jobless Claims News

22 Pages Posted: 9 Feb 2022 Last revised: 21 Feb 2023

See all articles by Thomas Gilbert

Thomas Gilbert

University of Washington - Department of Finance and Business Economics

Anna Kruglova

University of Washington

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

Gilbert, Thomas and Kruglova, Anna, Geographical COVID-19 Uncertainty and The Market Impact of Initial Jobless Claims News (February 17, 2023). Available at SSRN: https://ssrn.com/abstract=4030112 or http://dx.doi.org/10.2139/ssrn.4030112

Thomas Gilbert (Contact Author)

University of Washington - Department of Finance and Business Economics ( email )

Box 353200
Seattle, WA 98195
United States
206-616-7184 (Phone)

HOME PAGE: http://faculty.washington.edu/gilbertt/

Anna Kruglova

University of Washington ( email )

PACCAR Hall, 4273 E Stevens Way NE
Seattle, WA 98195
United States

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