This study investigates the impacts of pandemic-induced economic policy uncertainties (PIEPU) on the S&P500, Nasdaq-100, and Dow Jones indexes (stock returns). To this aim, for the first time, newly created IDEMV (the Infectious Disease Equity Market Volatility index (henceforth, PIEPU index) is used. The Autoregressive Distributed Lag (ARDL) model and the Toda and Yamamoto (Journal of Econometrics, 1995, 66, pp. 225–250) causality test are applied for the 2009–2020 period. Empirical findings indicate that rises in the PIEPU index lead to falls of only the S&P500 and Dow Jones indexes. Corporations in the tech-heavy Nasdaq100 index do not negatively respond to rises in the PIEPU index. Additionally, the negative impacts of the rises in the specifically COVID-19 based-constructed PIEPU (DCOVPIEPU) index on the S&P500 and Dow Jones indexes are higher than the negative impacts of the general PIEPU index. This can be interpreted to mean that the larger the magnitude and spread rate of a pandemic, the larger the negative impacts on stock returns. In the sample period of this study, COVID-19 is the largest and most destructive pandemic compared to H1N1 and Ebola.

中文翻译：

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疫情引发的经济政策不确定性和美国证券交易所

本研究调查了大流行引发的经济政策不确定性 (PIEPU) 对标准普尔 500 指数、纳斯达克 100 指数和道琼斯指数（股票回报）的影响。为此，首次使用了新创建的 IDEMV（传染病股票市场波动指数（以下称为 PIEPU 指数）。自回归分布滞后 (ARDL) 模型以及 Toda 和 Yamamoto（计量经济学杂志，1995 年，66 , pp. 225–250) 因果关系检验适用于 2009–2020 年期间。实证结果表明，PIEPU 指数的上涨仅导致标准普尔 500 指数和道琼斯指数下跌。科技含量高的纳斯达克 100 指数中的公司不会产生负面影响响应 PIEPU 指数的上涨。此外，专门基于 COVID-19 构建的 PIEPU (DCOVPIEPU) 指数上涨对 S& P500 和道琼斯指数的负面影响高于一般 PIEPU 指数。这可以解释为，大流行病的规模和传播速度越大，对股票收益的负面影响就越大。在本研究的样本期内，与 H1N1 和埃博拉病毒相比，COVID-19 是规模最大、破坏力最强的大流行病。