The Contagion of Fake News Concern and Extreme Stock Market Risks During the COVID-19 Period

We investigate the spillover between the fake news concern and stock market extreme risks during the COVID-19 period in six hard-hit developed and developing countries. Employing the TVP-VAR connectedness approach, our results suggest that the total connectedness surged and peaked during the more uncertain period; the fake news concern impact the extreme stock market risk both domestic and aboard; the fakes news concern in the developed country, especially the US are more influential than in the developing countries. Our research shows the importance of verifying the authenticity of information during a crisis.