Pandemic-induced economic policy uncertainty and US stock exchanges.

This study investigates the impacts of pandemic-induced economic policy uncertainties (PIEPU) on the S&P500, Nasdaq-100, and Dow Jones indexes (stock returns). To this aim, for the first time, newly created IDEMV (the Infectious Disease Equity Market Volatility index (henceforth, PIEPU index) is used. The Autoregressive Distributed Lag (ARDL) model and the Toda and Yamamoto (Journal of Econometrics, 1995, 66, pp.