Asymmetric dependence between stock market returns and news during COVID19 financial turmoil

Highlights

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  I investigate the stock market's reaction to coronavirus news in the top six most affected countries by the pandemic.

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  The fake news exerts a negative nonlinear influence on the inferior and the middle quantiles throughout the distribution of returns.

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  The media coverage leads to a decrease in returns across middle and superior quantiles and has no effects on the inferior ones.

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  During COVID19 turmoil superior quantiles of returns distribution exhibit negative dependence on past performances, while inferior and middle quantiles are not affected by this phenomenon.

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  The gold return has a positive correlation with the stock markets, which amplifies during extreme bearish and bullish periods indicating that it does not behave as a “Safe Havens” asset.