Does investor attention increase stock market volatility during the COVID-19 pandemic?

We decompose investor attention to the COVID-19 pandemic into expected and unexpected segments and investigate their effects on realized and fundamental stock market volatility. We show that expected investor attention can explain both types of volatility. However, unexpected investor attention can...

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Detalles Bibliográficos
Autores principales: Wang, Hua, Xu, Liao, Sharma, Susan Sunila
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759317/
http://dx.doi.org/10.1016/j.pacfin.2021.101638
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author Wang, Hua
Xu, Liao
Sharma, Susan Sunila
author_facet Wang, Hua
Xu, Liao
Sharma, Susan Sunila
author_sort Wang, Hua
collection PubMed
description We decompose investor attention to the COVID-19 pandemic into expected and unexpected segments and investigate their effects on realized and fundamental stock market volatility. We show that expected investor attention can explain both types of volatility. However, unexpected investor attention can only explain realized volatility, though its realized volatility effect outweighs that of expected investor attention. Moreover, the relationship between expected investor attention and either type of volatility is unidirectional whereas the interaction between unexpected investor attention and realized volatility is bidirectional. These findings suggest that expected (unexpected) investor attention is informational (noisy and more harmful) to the stock market.
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spelling pubmed-97593172022-12-19 Does investor attention increase stock market volatility during the COVID-19 pandemic? Wang, Hua Xu, Liao Sharma, Susan Sunila Pacific-Basin Finance Journal Article We decompose investor attention to the COVID-19 pandemic into expected and unexpected segments and investigate their effects on realized and fundamental stock market volatility. We show that expected investor attention can explain both types of volatility. However, unexpected investor attention can only explain realized volatility, though its realized volatility effect outweighs that of expected investor attention. Moreover, the relationship between expected investor attention and either type of volatility is unidirectional whereas the interaction between unexpected investor attention and realized volatility is bidirectional. These findings suggest that expected (unexpected) investor attention is informational (noisy and more harmful) to the stock market. Elsevier B.V. 2021-10 2021-08-17 /pmc/articles/PMC9759317/ http://dx.doi.org/10.1016/j.pacfin.2021.101638 Text en © 2021 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
Wang, Hua
Xu, Liao
Sharma, Susan Sunila
Does investor attention increase stock market volatility during the COVID-19 pandemic?
title Does investor attention increase stock market volatility during the COVID-19 pandemic?
title_full Does investor attention increase stock market volatility during the COVID-19 pandemic?
title_fullStr Does investor attention increase stock market volatility during the COVID-19 pandemic?
title_full_unstemmed Does investor attention increase stock market volatility during the COVID-19 pandemic?
title_short Does investor attention increase stock market volatility during the COVID-19 pandemic?
title_sort does investor attention increase stock market volatility during the covid-19 pandemic?
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9759317/
http://dx.doi.org/10.1016/j.pacfin.2021.101638
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