In this study, we examine the response of emerging stock markets due to the uncertainty of pandemics and epidemics (UPE), including the COVID-19 pandemic. We demonstrate this by evaluating the stock return predictability of 24 emerging market stocks using the new datasets on uncertainty due to pandemics as well as the global fear index for the COVID-19 pandemic. We partition the data sample into periods before and after the announcement of the COVID-19 pandemic and employ panel data techniques that account for salient features of both the series and predictive model. We found that emerging stock markets are more vulnerable to UPE than developed market stocks. Put differently, developed stock markets provide a better hedge against UPE than emerging stock markets. We also find that incorporating the UPE indicator in the valuation of stocks, particularly during pandemics, is crucial for investment decisions.

在这项研究中，我们研究了由于大流行和流行病（UPE）（包括COVID-19大流行）的不确定性而导致的新兴股票市场的反应。我们通过使用新数据集评估24种新兴市场股票的股票回报可预测性来证明这一点，这些数据集涉及大流行引起的不确定性以及COVID-19大流行的全球恐惧指数。我们将数据样本划分为宣布COVID-19大流行之前和之后的时期，并采用面板数据技术来说明系列和预测模型的显着特征。我们发现，新兴股票市场比发达市场股票更容易受到UPE的影响。换句话说，发达股票市场对UPE的对冲比新兴股票市场更好。我们还发现，将UPE指标纳入股票估值中，