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The sum of all SCARES COVID-19 sentiment and asset return

In this study, I constitute a search based COVID-19 sentiment index using Google search volume. I develop an alternative Scared COVID-19 Attitude Revealed by Eager Search (SCARES) index using the household search volume i.e. “coronavirus pandemic”, “coronavirus epidemic”, and “coronavirus outbreak”...

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Autor principal: Hasan, Md. Tanvir
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Board of Trustees of the University of Illinois. Published by Elsevier Inc. 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9387107/
https://www.ncbi.nlm.nih.gov/pubmed/35996643
http://dx.doi.org/10.1016/j.qref.2022.08.005
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author Hasan, Md. Tanvir
author_facet Hasan, Md. Tanvir
author_sort Hasan, Md. Tanvir
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description In this study, I constitute a search based COVID-19 sentiment index using Google search volume. I develop an alternative Scared COVID-19 Attitude Revealed by Eager Search (SCARES) index using the household search volume i.e. “coronavirus pandemic”, “coronavirus epidemic”, and “coronavirus outbreak” of United States (US) during the COVID-19 pandemic. Using daily data from May 1, 2020 to July 30, 2021, I find that SCARES index negatively explains stock market return and subsequent return reversals, implying that households’ increased pandemic sentiment negatively affects equity market return. Furthermore, decile regressions on characteristics-sorted portfolio returns show that SCARES index predicts the return reversals of firms that are small, less profitable, and with low investment. I also report that COVID-19 search shocks of households do not significantly predict any of the Fama-French five-factors except SMB (small-minus-big). Moreover, I use two state Markov switching model and find that structural breaks associated with pandemic phases make SCARES positively related to indices i.e. twitter based uncertainty, volatility index, economic policy uncertainty, and business condition in high volatility regime. Finally, sub-period analysis reports that, in stock market context, people start to react slowly and become relatively less responsive to the COVID-19 search keywords. The findings of this paper can assist key stakeholders in the market to carefully analyze the asset return pattern during pandemic regimes.
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spelling pubmed-93871072022-08-18 The sum of all SCARES COVID-19 sentiment and asset return Hasan, Md. Tanvir Q Rev Econ Finance Article In this study, I constitute a search based COVID-19 sentiment index using Google search volume. I develop an alternative Scared COVID-19 Attitude Revealed by Eager Search (SCARES) index using the household search volume i.e. “coronavirus pandemic”, “coronavirus epidemic”, and “coronavirus outbreak” of United States (US) during the COVID-19 pandemic. Using daily data from May 1, 2020 to July 30, 2021, I find that SCARES index negatively explains stock market return and subsequent return reversals, implying that households’ increased pandemic sentiment negatively affects equity market return. Furthermore, decile regressions on characteristics-sorted portfolio returns show that SCARES index predicts the return reversals of firms that are small, less profitable, and with low investment. I also report that COVID-19 search shocks of households do not significantly predict any of the Fama-French five-factors except SMB (small-minus-big). Moreover, I use two state Markov switching model and find that structural breaks associated with pandemic phases make SCARES positively related to indices i.e. twitter based uncertainty, volatility index, economic policy uncertainty, and business condition in high volatility regime. Finally, sub-period analysis reports that, in stock market context, people start to react slowly and become relatively less responsive to the COVID-19 search keywords. The findings of this paper can assist key stakeholders in the market to carefully analyze the asset return pattern during pandemic regimes. Board of Trustees of the University of Illinois. Published by Elsevier Inc. 2022-11 2022-08-18 /pmc/articles/PMC9387107/ /pubmed/35996643 http://dx.doi.org/10.1016/j.qref.2022.08.005 Text en © 2022 Board of Trustees of the University of Illinois. Published by 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
Hasan, Md. Tanvir
The sum of all SCARES COVID-19 sentiment and asset return
title The sum of all SCARES COVID-19 sentiment and asset return
title_full The sum of all SCARES COVID-19 sentiment and asset return
title_fullStr The sum of all SCARES COVID-19 sentiment and asset return
title_full_unstemmed The sum of all SCARES COVID-19 sentiment and asset return
title_short The sum of all SCARES COVID-19 sentiment and asset return
title_sort sum of all scares covid-19 sentiment and asset return
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9387107/
https://www.ncbi.nlm.nih.gov/pubmed/35996643
http://dx.doi.org/10.1016/j.qref.2022.08.005
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