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Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets
The present study investigates the degree of market responses through the scope of investors' sentiment during the COVID-19 pandemic across G20 markets by constructing a novel positive search volume index for COVID-19 (COVID19(+)). Our key findings, obtained using a Panel-GARCH model, indicate...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Elsevier Inc.
2022
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8915623/ https://www.ncbi.nlm.nih.gov/pubmed/36531211 http://dx.doi.org/10.1016/j.irfa.2022.102111 |
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author | Anastasiou, Dimitris Ballis, Antonis Drakos, Konstantinos |
author_facet | Anastasiou, Dimitris Ballis, Antonis Drakos, Konstantinos |
author_sort | Anastasiou, Dimitris |
collection | PubMed |
description | The present study investigates the degree of market responses through the scope of investors' sentiment during the COVID-19 pandemic across G20 markets by constructing a novel positive search volume index for COVID-19 (COVID19(+)). Our key findings, obtained using a Panel-GARCH model, indicate that an increased COVID19(+) index suggests that investors decrease their COVID-19 related crisis sentiment by escalating their Google searches for positively associated COVID-19 related keywords. Specifically, we explore the predictive power of the newly constructed index on stock returns and volatility. According to our findings, investor sentiment positively (negatively) predicts the stock return (volatility) during the COVID-19. This is the first study assessing global sentiment by proposing a novel proxy and its impacts on the G20 equity market. |
format | Online Article Text |
id | pubmed-8915623 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2022 |
publisher | Elsevier Inc. |
record_format | MEDLINE/PubMed |
spelling | pubmed-89156232022-03-11 Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets Anastasiou, Dimitris Ballis, Antonis Drakos, Konstantinos Int Rev Financ Anal Article The present study investigates the degree of market responses through the scope of investors' sentiment during the COVID-19 pandemic across G20 markets by constructing a novel positive search volume index for COVID-19 (COVID19(+)). Our key findings, obtained using a Panel-GARCH model, indicate that an increased COVID19(+) index suggests that investors decrease their COVID-19 related crisis sentiment by escalating their Google searches for positively associated COVID-19 related keywords. Specifically, we explore the predictive power of the newly constructed index on stock returns and volatility. According to our findings, investor sentiment positively (negatively) predicts the stock return (volatility) during the COVID-19. This is the first study assessing global sentiment by proposing a novel proxy and its impacts on the G20 equity market. Elsevier Inc. 2022-05 2022-03-11 /pmc/articles/PMC8915623/ /pubmed/36531211 http://dx.doi.org/10.1016/j.irfa.2022.102111 Text en © 2022 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active. |
spellingShingle | Article Anastasiou, Dimitris Ballis, Antonis Drakos, Konstantinos Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets |
title | Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets |
title_full | Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets |
title_fullStr | Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets |
title_full_unstemmed | Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets |
title_short | Constructing a positive sentiment index for COVID-19: Evidence from G20 stock markets |
title_sort | constructing a positive sentiment index for covid-19: evidence from g20 stock markets |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8915623/ https://www.ncbi.nlm.nih.gov/pubmed/36531211 http://dx.doi.org/10.1016/j.irfa.2022.102111 |
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