How does uncertainty affect stock markets?

  • João Pedro Calvo Matos (Student)

Student thesis: Master's Thesis


The research tries to assess the impact of the measurement uncertainty in the different countries and corresponding categories aggregations created on the respective stock market price movements. For this analysis, I have constructed an uncertainty index for 36 OECD countries based on the frequency of internet searches – 100 different key expressions selected and translated for each country's native language that capture a broad range of topics between January of 2005 and December of 2020. The created index spikes both in international and country-specific historical events. The findings also suggest that, in general, the created index has predictive capabilities on share price movements, notably during periods of generalized fear and uncertainty across countries. Overall, the proposed models present results that better explain the share price movements in emerging economies than in advanced ones.
Date of Award28 Apr 2021
Original languageEnglish
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorEva Schliephake (Supervisor)


  • Uncertainty
  • Stock market
  • Crisis
  • Measurement
  • Google trends
  • Indexes


  • Mestrado em Gestão e Administração de Empresas

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