Abstract
We investigate the spillover between fake news concern and extreme stock market risks during the COVID-19 period in six hard-hit developed and developing countries. Our results of employing the TVP-VAR connectedness approach suggest that total connectedness surged and peaked during the more uncertain period; fake news concern impacted the extreme stock market risk both domestically and abroad. Additionally, fake news concern in developed countries, especially the US, is more influential than that in developing countries. We also find that the impact of fake news concern on stock market extreme volatility decreases after the inclusion of legitimate news, and local fake news concern appears to have a greater impact than legitimate news concern in developing countries. Our research shows the importance of verifying the authenticity of information during a crisis.
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