In search of COVID-19 and stock market behavior

The aim of this paper is two-fold. First, we investigate the nexus between investor attention to COVID-19 and daily returns in 59 countries. We use Google Search Volume Index to account for investor attention. Our empirical findings suggest that the search volume of the pandemic is negatively associ...

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Detalles Bibliográficos
Autores principales: Chundakkadan, Radeef, Nedumparambil, Elizabeth
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9620496/
https://www.ncbi.nlm.nih.gov/pubmed/38013956
http://dx.doi.org/10.1016/j.gfj.2021.100639
Descripción
Sumario:The aim of this paper is two-fold. First, we investigate the nexus between investor attention to COVID-19 and daily returns in 59 countries. We use Google Search Volume Index to account for investor attention. Our empirical findings suggest that the search volume of the pandemic is negatively associated with daily returns. The effect was strong in the week that the World Health Organization declared it as pandemic and among advanced countries. Second, we explore the relationship between search volume and market volatility. The findings suggest that COVID-19 sentiment generated excess volatility in the market. Our findings remain robust with alternative specifications.

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