This research looked at the effects of COVID-19 on a number of the world’s most important stock exchanges, as well as the empirical relation between the COVID-19 wave and stock market volatility. In order to plan proper portfolio diversification in international financial markets, researchers must examine COVID-19 anxiety in relation to stock market volatility. The stock market volatility connected with the COVID-19 pandemic was measured using AR(1)-GARCH(1,1). COVID-19 fear, according to our research, is the ultimate driver of public attention and stock market volatility. The findings show that throughout the pandemic, stock market performance and GDP growth both declined significantly due to average increases. Furthermore, a 1% increase in COVID-19 causes a 0.8% and 0.56% decline in stock return and GDP, respectively. The stock market, on the other hand, showed a slight movement in GDP growth. Furthermore, the COVID-19 pandemic reported cases index, death index, and global panic index all influenced public perceptions of purchasing and selling. As a result, rather than investing in stocks, it is recommended that you invest in gold. The research also makes policy recommendations for important stakeholders. We look to examine how stock returns respond dynamically to unanticipated changes in the COVID-19 scenarios, as well as the uncertainty that comes with a pandemic. Using daily data from Canada and the USA, we conclude that a spike in COVID-19 instances has a negative impact on the stock market in general. Furthermore, in both the increase and decline scenarios in Canada, the stock return reactions are asymmetric. The disparity is due to the unfavorable impact of the pandemic’s unpredictability. We also discovered that uncertainty had a negative impact on the US stock market. The magnitude, however, is insignificant.

这项研究着眼于 COVID-19 对世界上一些最重要的证券交易所的影响，以及 COVID-19 浪潮与股市波动之间的经验关系。为了在国际金融市场上规划适当的投资组合多元化，研究人员必须研究与股市波动相关的 COVID-19 焦虑。使用 AR(1)-GARCH(1,1) 衡量与 COVID-19 大流行相关的股市波动性。根据我们的研究，对 COVID-19 的恐惧是公众关注和股市波动的最终驱动因素。调查结果显示，在整个疫情期间，股市表现和 GDP 增长均因平均增长而大幅下降。此外，COVID-19 每增加 1%，就会导致股票回报率和 GDP 分别下降 0.8% 和 0.56%。另一方面，股市则显示出GDP增长的小幅波动。此外，COVID-19大流行报告病例指数、死亡指数和全球恐慌指数都影响了公众对买卖的看法。因此，建议您投资黄金，而不是投资股票。该研究还为重要利益相关者提出政策建议。我们希望研究股票回报如何动态响应 COVID-19 情景中的意外变化以及大流行带来的不确定性。根据加拿大和美国的每日数据，我们得出结论，COVID-19 病例激增总体上对股市产生了负面影响。此外，在加拿大上涨和下跌的情况下，股票回报反应都是不对称的。这种差异是由于大流行的不可预测性的不利影响造成的。 我们还发现不确定性对美国股市产生了负面影响。然而，其幅度微不足道。