Expectations Concordance and Stock Market Volatility: Knightian Uncertainty in the Year of the Pandemic

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations measures degree to which KU associated with directionally similar of future returns. Narrative analytics daily news reports allow assessment bullish versus bearish views stock market. Increases across all results reinforcing effects an increase market volatility. Lower produces stabilizing effect wherein offsetting reduce The empirical findings hold ex post ante OLS GARCH estimates.