Which COVID-19 information really impacts stock markets?

Information about the COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock markets. Out of 24 measures, COVID-19 related...

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Autores principales: Szczygielski, Jan Jakub, Charteris, Ailie, Bwanya, Princess Rutendo, Brzeszczyński, Janusz
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9137268/
http://dx.doi.org/10.1016/j.intfin.2022.101592
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author Szczygielski, Jan Jakub
Charteris, Ailie
Bwanya, Princess Rutendo
Brzeszczyński, Janusz
author_facet Szczygielski, Jan Jakub
Charteris, Ailie
Bwanya, Princess Rutendo
Brzeszczyński, Janusz
author_sort Szczygielski, Jan Jakub
collection PubMed
description Information about the COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock markets. Out of 24 measures, COVID-19 related Google search trends, the stringency of government responses and media hype prevail during the height of the COVID-19 crisis. These measures proxy for COVID-19 related uncertainty, the economic impact of lockdowns and panic-driven media attention, respectively, summarizing key aspects of COVID-19 that move stock markets. Moreover, geographical proximity to the virus’s outbreak and a country’s development level also matter in terms of impact.
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spelling pubmed-91372682022-05-31 Which COVID-19 information really impacts stock markets? Szczygielski, Jan Jakub Charteris, Ailie Bwanya, Princess Rutendo Brzeszczyński, Janusz Journal of International Financial Markets, Institutions and Money Article Information about the COVID-19 pandemic abounds, but which COVID-19 data actually impacts stock prices? We investigate which measures of COVID-19 matter most by applying elastic net regression for measure selection using a sample of the 35 largest stock markets. Out of 24 measures, COVID-19 related Google search trends, the stringency of government responses and media hype prevail during the height of the COVID-19 crisis. These measures proxy for COVID-19 related uncertainty, the economic impact of lockdowns and panic-driven media attention, respectively, summarizing key aspects of COVID-19 that move stock markets. Moreover, geographical proximity to the virus’s outbreak and a country’s development level also matter in terms of impact. Elsevier B.V. 2023-04 2022-05-27 /pmc/articles/PMC9137268/ http://dx.doi.org/10.1016/j.intfin.2022.101592 Text en © 2022 Elsevier B.V. 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
Szczygielski, Jan Jakub
Charteris, Ailie
Bwanya, Princess Rutendo
Brzeszczyński, Janusz
Which COVID-19 information really impacts stock markets?
title Which COVID-19 information really impacts stock markets?
title_full Which COVID-19 information really impacts stock markets?
title_fullStr Which COVID-19 information really impacts stock markets?
title_full_unstemmed Which COVID-19 information really impacts stock markets?
title_short Which COVID-19 information really impacts stock markets?
title_sort which covid-19 information really impacts stock markets?
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9137268/
http://dx.doi.org/10.1016/j.intfin.2022.101592
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