Asymmetric dependence between stock market returns and news during COVID-19 financial turmoil

• I investigate the stock market's reaction to coronavirus news in the top six most affected countries by the pandemic. • The fake news exerts a negative nonlinear influence on the inferior and the middle quantiles throughout the distribution of returns. • The media coverage leads to a decrease in returns across middle and superior quantiles and has no effects on the inferior ones. • 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. • 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.