Information dissemination across global markets during the spread of COVID-19 pandemic()

This study examines the information dissemination process across 25 major global market indices during the times of COVID-19 pandemic spread. The results suggest that the information from non-systematic sources contributed to the price decline and increased volatility. In contrast, the systematic information lowered the volatility and facilitated the recovery process towards more stable markets. These results have important implications for policymakers and regulators in the development of efficient markets.