Impact of Distinct Uncertainty Types on the Returns of G20 Stock Indices Across Different Market Conditions: Evidence from Two-step Panel QARDL Approach

A novel panel quantile autoregressive distributive lag approach has been utilized to show the long-run and short-run impact of geopolitical (GPR), economic policy (GEPU) and financial market uncertainties on the returns of G20 stock indices under different market conditions from April 2015 to March 2024. Findings reveal that G20 stock indices are particularly vulnerable to GPR, geopolitical threats, implied volatility and economic market volatility in the short run, specifically during downturns. Besides, resilience has been observed against country-specific GPR, GEPU and COVID-19, highlighting their potential as diversifiers and hedges. Additionally, this study has important implications for investors and policymakers.