Sources of uncertainty and their impact on stock prices evidence from emerging economies

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Abstract This study investigates the short- and long-term effects of various sources of uncertainty on the share prices of key exchanges in emerging nations. The sample comprises monthly time series data from January 2017 to December 2021 for China, India, Russia, and Brazil. The study contains a version of Autoregressive-Distributive-Lag (ARDL) with error correction as well as other relevant approaches to time series. Economic policy, climate policy, pandemics, and Twitter-based uncertainty may cause a long-term decline in SSE (Shanghai Stock Exchange) composite index and BSE (Bombay Stock Exchange) Sensex index. In China, geopolitical, climatic, and pandemic uncertainty are short-term sources of uncertainty, and in India, economic policy, geopolitical, and pandemic uncertainty. Moreover, no sources of uncertainty have a long-term impact on Russia’s Moscow Exchange (MOEX) index. All sources except climate uncertainty are short-term MOEX index contributors. Pandemics and Twitter-based uncertainty are long-term sources, whereas economic policy and Twitter-based uncertainty are short-term sources for Brazilian Stock Exchange (BOVESPA) Index. This research adds to the literature by examining the relationship between distinct sources of uncertainty and an emerging market share prices index. It provides the behavior of leading share price indexes in the presence of uncertainty. The study’s conclusions only apply to emerging economies. Future research may take into account a panel dataset consisting of a large number of emerging nations to examine the same set of variables.