Uncertainty governance in the stock market during the COVID-19: evidence of the strictest economies in the world

PurposeAccording to the Government Response tracker (oxCGRT) index, the strictest policy responses to the coronavirus pandemic from January 2020 to May 2022 belong to Italy, China, Hong Kong, Greece, Austria, Peru, Singapore and Malaysia. The main question is: “this level of strictness has been able to reduce the uncertainty of the stock market?”Design/methodology/approachTo achieve this goal, the authors investigated the effect of oxCGRT index, and the growth rate of COVID-19 confirms cases on stock market uncertainty from January 2020 to May 2022 in the GARCH, EGARCH and TGARCH models.FindingsAmong these countries, the oxCGRT index has reduced uncertainty in the stock market only in Malaysia and Singapore. This result says an appropriate pattern of applying government policy responses is more important than the degree of stringency.Originality/valueThe study will contribute to the existing literature by examining the impact of the comprehensive oxCGRT index on the uncertainty of the stock market.